Implied and local volatilities under stochastic volatility

By Roger Lee. 2000

69 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/933ee098c022294ffa523eb10955f66948f47fbf

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. A. Medvedev
2. Roger Lee
3. Olivier Scaillet
4. Peter P. Carr
5. St'ephane Cr'epey
6. Peter Tankov
7. V. Todorov
8. Martin Keller‐Ressel

Citations in the corpus

• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009, background): “the symmetry results of Lee [ 14 ] and Renault-Touzi [19].”
• Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007, methodology): “Formula ( 23 ) suggests a means to compute the implied volatility smile using at-the-money”
• Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2005, background): “Lee [37] proves the moment formula for implied volatility at extreme strikes.”
• Delta-hedging vega risk? (2004, result): “Other studies have compared the performances of the standard Black–Scholes model with those of spot stochastic volatility models [4, 6, 46, 53], and those of models including jumps and/or stochastic interest rates [4].”