Probabilistic interpretation of Black implied volatility

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Hebrew University FinTech Center (2019 : Jerusalem) Options - 45 years since the publication of the Black-Scholes-Merton model
1. Verfasser:	Carr, Peter (VerfasserIn)
Weitere Verfasser:	Wu, Liuren (VerfasserIn), Zhang, Yuzhao (VerfasserIn)
Pages:	45
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2023
Schlagworte:	Implied volatility > implied variance > implied volatility smile > probabilistic interpretation > financial interpretation > Aufsatz im Buch
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Titel	Jahr	Verfasser
Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility	2023	Brigo, Damiano
VIX and derivatives	2023	Brenner, Menachem
Multivariate fractional Brownian motion and generalizations of SABR model	2023	Musiela, Marek
Things we think we know	2023	Rogers, Leonard C. G.
A neural network approach to understanding implied volatility movements	2023	Cao, Jay
Modeling volatility risk in equity options market : a statistical approach	2023	Dobi, Doris
Swap rate à la stock : Bermudan swaptions made easy	2023	Gatarek, Dariusz
Contingent claims analysis in corporate finance	2023	Crouhy, Michel
Cumulant formulas for implied volatility	2023	Lee, Roger
The smile of stochastic volatility models	2023	Guyon, Julien
A general theory of option pricing	2023	Geršôn, Dāwid
Thirty years of derivatives market : originality of the French experience	2023	El Karoui, Nicole
Option prices in the equity, index and commodity markets : the "message from markets"	2023	Ronn, Ehud I.
Insider trading	2023	Protter, Philip E.
How good is Black-Scholes-Merton, really?	2023	Wilmott, Paul
Buy rough, sell smooth	2023	Glasserman, Paul
Risk exposure valuation using measure distortions : an overview	2023	Madan, Dilip B.
Probabilistic interpretation of Black implied volatility	2023	Carr, Peter
Volatility is rough	2023	Gatheral, Jim
Implied volatility asymptotics : Black-Scholes and beyond	2023	Tankov, Peter