Implied volatility surfaces: uncovering regularities for options on financial futures

By Rob Tompkins. 2001

89 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/393ff20fe9413324032bab5cba83681859c439d1

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In Finance

1. Daniel Sevcovic
2. Martin Jandacka

Citations in the corpus

• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile (2005, background): “, [2, 6, 11, 23]), such an assumption is often violated.”
• Analytical and Numerical Methods for Pricing Financial Derivatives (2011, background): “, [10, 118]) such an assumption is often violated.”
• Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “Tompkins (2001) supported these findings and also found downward-sloping smiles for the Japanese market, even where the smile is flat for the particular day considered in Figure 1.”