SSRN Electronic Journal · 2004 · 29 citations · 4 references
BusinessFinanceMathematicsAsset PricingFinancial EconomicsStochastic ProcessesImplied VolatilityJump ProcessesOption PricingOption Pricing ModelsStochastic VolatilityVolatility ModelingImplied Volatility SmileJump DynamicsJump-diffusion ModelsJump-diffusion ProcessesOption Pricing Under Stochastic VolatilityStochastic Volatility ModelsStochastic Volatility PricingStochastic Volatility With Jumps
4
Stochastic Volatility for Lévy Processes
Peter Carr, Hélyette Geman, Dilip B. Madan et al. · Mathematical Finance · 2003 · 911 citations
Engineering, Economics, Finance +17
Accounting for Biases in Black-Scholes
David Backus, Silverio Foresi, Liuren Wu · SSRN Electronic Journal · 2004 · 154 citations · Full text
Business, Finance, Asset Pricing +16
A Market Model for Stochastic Implied Volatility
Philipp Schönbucher · SSRN Electronic Journal · 1999 · 42 citations · Full text