VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY

By George Skiadopoulos. 2001

64 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7f4281aecb0ccc73e7f5b2bce693f192de635411

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In Finance

1. Carol Alexander
2. Leonardo M. Nogueira
3. Nikolaos Panigirtzoglou
4. David S. Bates
5. George Skiadopoulos
6. Matthias R. Fengler
7. Liuren Wu
8. Tim Bollerslev

Citations in the corpus

• Stochastic Local Volatility (2008, background): “For a detailed review of these models, see Jackwerth (1999), Skiadopoulos (2001), Bates (2003), Psychoyios et al. (2003) and Nogueira (2006).”
• Empirical option pricing: a retrospection (2003, background): “See Skiadopoulos, Hodges, and Clewlow (1999) for a factor analysis of ISD surface evolution.”
• Model-free hedge ratios and scale-invariant models (2007, background): “A multitude of models for option pricing have been developed in recent years and the academic literature is enormous (see Jackwerth, 1999; Skiadopoulos, 2001; Bates, 2003; Psychoyios et al., 2003; Cont and Tankov, 2004, for comprehensive reviews).”
• A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, background): “…stochastic volatility models is the next natural candidate to capture the stochastic evolution of option prices over time [see Jackwerth (1999), and Skiadopoulos (2001) for a review of smile-consistent models]. since we identify two components that explain 89-92% of the variance depending on the…”