Concepedia

Implied Volatility Modeling

Implied Volatility Modeling is a quantitative methodology within option pricing theory that characterizes the forward-looking volatility of an underlying asset by inverting observed market option prices to derive the market's consensus expectation of future volatility.

624

Publications

48.1K

Citations

946

Authors

600

Institutions

Publications per year

2017–2026

140

Parents

Publications

624

Empirical Performance of Alternative Option Pricing Models

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

, , +16

The Impact of Jumps in Volatility and Returns

Bjørn Eraker, Michael Johannes, Nicholas Polson · The Journal of Finance · 2003 · 1.6K citations · Full text

, , +17

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

1–5 of 624

Authors

946

  1. AJ
    Antoine Jacquier

    Imperial College London, United Kingdom

    13 publications · 541 citations

    11

    h-index

  2. MF
    Martin Forde

    Dublin City University, Ireland

    11 publications · 477 citations

    11

    h-index

  3. DR
    Doojin Ryu

    Sungkyunkwan University, South Korea

    9 publications · 313 citations

    9

    h-index

  4. ML
    Matthew Lorig

    University of Washington Applied Physics Laboratory, United States

    9 publications · 214 citations

    9

    h-index

  5. JD
    James Doran

    Florida State University, United States

    8 publications · 383 citations

    8

    h-index

1–5 of 946

Institutions

600

  1. National Bureau of Economic Research

    Cambridge, United States

    16 h-index

    23 publications

    5.9K citations

  2. New York University

    New York, United States

    16 h-index

    23 publications

    2.4K citations

  3. Imperial College London

    London, United Kingdom

    15 h-index

    34 publications

    1.4K citations

  4. University of Toronto

    Toronto, Canada

    14 h-index

    28 publications

    1.6K citations

  5. Swiss Finance Institute

    Zurich, Switzerland

    12 h-index

    16 publications

    749 citations

  6. Columbia University

    New York, United States

    11 h-index

    15 publications

    3.6K citations

  7. Courant Institute of Mathematical Sciences

    New York, United States

    11 h-index

    13 publications

    1.4K citations

  8. Dublin City University

    Dublin, Ireland

    11 h-index

    11 publications

    492 citations

1–8 of 600

Venues

  1. SSRN Electronic Journal

    Repository · 113 publications · 4.3K citations

    33

    h-index

  2. The Journal of Finance

    20 publications · 11.7K citations

    20

    h-index

  3. Journal of Banking & Finance

    25 publications · 2.2K citations

    20

    h-index

  4. Quantitative Finance

    27 publications · 1.8K citations

    19

    h-index

  5. Journal of Futures Markets

    29 publications · 969 citations

    17

    h-index

1–5