Concepedia

Implied Volatility Estimation

Implied Volatility Estimation is a quantitative method in financial econometrics that derives the market’s expectation of an asset’s future volatility by inverting option pricing models, such as the Black-Scholes model, to solve for the volatility parameter implied by observed option prices.

838

Publications

60.7K

Citations

1.2K

Authors

722

Institutions

Publications per year

2017–2026

184

Parents

Publications

838

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 2.7K citations · Full text

, , +16

Implied Volatility Functions: Empirical Tests

Bernard Dumas, Jeff Fleming, Robert E. Whaley · The Journal of Finance · 1998 · 1.3K citations

, , +17

The relation between implied and realized volatility

Bent Jesper Christensen, Nagpurnanand Prabhala · Journal of Financial Economics · 1998 · 1.2K citations · Full text

, , +17

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 1.1K citations

, , +16

Volatility estimation for Bitcoin: A comparison of GARCH models

Paraskevi Katsiampa · Economics Letters · 2017 · 1.1K citations · Full text

, , +14

1–5 of 838

Authors

1.2K

  1. AJ
    Antoine Jacquier

    Imperial College London, United Kingdom

    14 publications · 617 citations

    12

    h-index

  2. DR
    Doojin Ryu

    Sungkyunkwan University, South Korea

    12 publications · 426 citations

    12

    h-index

  3. MF
    Martin Forde

    Dublin City University, Ireland

    11 publications · 490 citations

    11

    h-index

  4. JD
    James Doran

    Florida State University, United States

    10 publications · 442 citations

    10

    h-index

  5. LW
    Liuren Wu

    Baruch College, United States

    9 publications · 1.4K citations

    9

    h-index

1–5 of 1.2K

Institutions

722

  1. New York University

    New York, United States

    15 h-index

    26 publications

    2.9K citations

  2. Imperial College London

    London, United Kingdom

    14 h-index

    27 publications

    1.1K citations

  3. Swiss Finance Institute

    Zurich, Switzerland

    13 h-index

    19 publications

    838 citations

  4. Princeton University

    Princeton, United States

    13 h-index

    15 publications

    658 citations

  5. University of Toronto

    Toronto, Canada

    12 h-index

    24 publications

    1.2K citations

  6. Aarhus University

    Aarhus, Denmark

    12 h-index

    16 publications

    2.2K citations

  7. Baruch College

    New York, United States

    11 h-index

    16 publications

    2.1K citations

  8. Dublin City University

    Dublin, Ireland

    11 h-index

    11 publications

    506 citations

1–8 of 722

Venues

  1. SSRN Electronic Journal

    Repository · 126 publications · 4.5K citations

    36

    h-index

  2. Journal of Futures Markets

    47 publications · 1.7K citations

    24

    h-index

  3. Journal of Banking & Finance

    28 publications · 2.5K citations

    21

    h-index

  4. Quantitative Finance

    32 publications · 1.6K citations

    20

    h-index

  5. The Journal of Finance

    19 publications · 9.7K citations

    18

    h-index

1–5