The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Option Prices, Implied Price Processes, and Stochastic Volatility
Abstract
This paper characterizes all continuous price processes that are consistent with current option prices. This extends Derman and Kani (1994), Dupire (1994, 1997), and Rubinstein (1994), who only consider processes with deterministic volatility. Our characterization implies a volatility forecast that does not require a specific model, only current option prices. We show how arbitrary volatility processes can be adjusted to fit current option prices exactly, just as interest rate processes can be adjusted to fit bond prices exactly. The procedure works with many volatility models, is fast to calibrate, and can price exotic options efficiently using familiar lattice techniques.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Ilhan, E., Sautner, Z., & Vilkov, G. (2021) · The Review of Financial Studies · doi:10.1093/rfs/hhaa071 · Cited by 1,136
Ilhan, E., Sautner, Z., & Vilkov, G. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3204420 · Cited by 1,136
How Sovereign Is Sovereign Credit Risk?
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011) · American Economic Journal: Macroeconomics · doi:10.1257/mac.3.2.75 · Cited by 1,083
BOLLERSLEV, T., & TODOROV, V. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2011.01695.x · Cited by 804
Modeling and predicting the CBOE market volatility index
Fernandes, M., Medeiros, M. C., & Scharth, M. (2014) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.11.004 · Cited by 278
Metadata
- Authors
- Britten‐Jones, M., & Neuberger, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-04
- Volume
- 55
- Issue
- 2
- Pages
- 839-866
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2084931349
- Cited by
- 937
- References
- 1
- FWCI
- 15.46
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
