Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation

By Roger Lee. 2005

107 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f9507586b0adcfb6d984e234b682589b5700ba0f

How researchers see this paper

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In Finance

1. Michael Tehranchi
2. Peter Tankov
3. David Hobson *
4. Vicky Henderson

Citations in the corpus

• Asymptotics of Implied Volatility far from Maturity (2009, background): “been noticed before: Gatheral [6] has shown that the gradient of the implied volatility, if it exists, decays pointwise like 1/ . See also the paper of Lee [ 10 ].”