SMEAL WIKI

Implied volatility

OpenAlex concept - C24189920

Field
Subfield
Domain
OpenAlex	C24189920

Smeal faculty

Charles Cao - score 1.4
Timothy T. Simin - score 0.6
Joel M. Vanden - score 0.6
James A. Miles - score 0.6

Papers

The information content of option-implied volatility for credit default swap valuation (2010) - cites 234
The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (2009) - cites 99
Predicting the equity premium with the implied volatility spread (2020) - cites 26
High-order ADI scheme for option pricing in stochastic volatility models (2016) - cites 17
PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (2006) - cites 5