Volatility Smile Modeling is a stochastic volatility modeling framework that captures the implied volatility skewness and kurtosis across strike prices by incorporating latent volatility processes that generate the observed market pricing anomalies in options.
240
Publications
18.6K
Citations
341
Authors
256
Institutions
Publications per year
2017–2026
27
Parents
Publications
240
A Jump-Diffusion Model for Option Pricing
Steven Kou · Management Science · 2002 · 1.9K citations
Option Pricing Under a Double Exponential Jump Diffusion Model
Steven Kou, Hui Wang · Management Science · 2004 · 637 citations
Clifford W. Smith · Journal of Financial Economics · 1976 · 476 citations
1–5 of 240
Authors
341
- AJ
10
h-index
- DB
8
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- MF
7
h-index
- SK
6
h-index
- JGJulien Guyon
Laboratoire d'Étude des Microstructures et de Mécanique des Matériaux, France
6 publications · 183 citations
6
h-index
1–5 of 341
Institutions
256
New York University
New York, United States
11 h-index
12 publications
695 citations
Imperial College London
London, United Kingdom
11 h-index
15 publications
543 citations
Columbia University
New York, United States
7 h-index
7 publications
2.7K citations
Bank of Italy
Rome, Italy
6 h-index
7 publications
176 citations
Swiss Finance Institute
Zurich, Switzerland
6 h-index
8 publications
597 citations
Courant Institute of Mathematical Sciences
New York, United States
6 h-index
7 publications
265 citations
Bloomberg (United States)
New York, United States
6 h-index
7 publications
228 citations
Dublin City University
Dublin, Ireland
5 h-index
5 publications
197 citations
1–8 of 256
Venues
- SSRN Electronic Journal
Repository · 58 publications · 2K citations
27
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- Quantitative Finance
17 publications · 689 citations
14
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- International Journal of Theoretical and Applied Finance
IJTAF · 12 publications · 590 citations
12
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- Mathematical Finance
11 publications · 722 citations
11
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- The Journal of Derivatives
10 publications · 960 citations
10
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1–5