Arbitrage-free implied volatility surfaces for options on single stock futures

An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds

Thomas F. Coleman, Yuying Li · SIAM Journal on Optimization · 1996 · 3.3K citations

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Implied Volatility Functions: Empirical Tests

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

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On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds

Thomas F. Coleman, Yuying Li · Mathematical Programming · 1994 · 1.1K citations

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The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

David S. Bates · The Journal of Finance · 1991 · 915 citations

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THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

Jerome B. Cohen, Fischer Black, Myron S. Scholes · The Journal of Finance · 1972 · 722 citations

Business, Economics, Finance +16