UnifiedVol/docs/citations.bib at master · asancdec/UnifiedVol · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
@article{Lee2003Moment,
  author  = {Lee, Roger W.},
  title   = {The Moment Formula for Implied Volatility at Extreme Strikes},
  journal = {Mathematical Finance},
  year    = {2003}
}

@article{GatheralJacquier2014SVI,
  author = {Gatheral, Jim and Jacquier, Antoine},
  title  = {Arbitrage-Free SVI Volatility Surfaces},
  year   = {2014}
}

@techreport{Zeliade2012SVI,
  author      = {{Zeliade Systems}},
  title       = {Quasi-Explicit Calibration of Gatheral’s SVI Model},
  institution = {Zeliade Systems},
  year        = {2012},
  note        = {White Paper}
}

@techreport{Ferhati2020SVI,
  author = {Ferhati, Tahar},
  title  = {Robust Calibration for SVI Model Arbitrage-Free},
  year   = {2020},
  note   = {Second version, March 14, 2020}
}

@article{Heston1993SV,
  author  = {Heston, Steven L.},
  title   = {A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options},
  journal = {The Review of Financial Studies},
  volume  = {6},
  number  = {2},
  pages   = {327--343},
  year    = {1993}
}

@article{Albrecher2006LittleHeston,
  author = {Albrecher, Hansj{\"o}rg and Mayer, Philipp and Schoutens, Wim and Tistaert, Jurgen},
  title  = {The Little Heston Trap},
  year   = {2006}
}

@article{Cui2016FastHeston,
  author  = {Cui, Yiran and del Ba{\~n}o Rollin, Sebastian and Germano, Guido},
  title   = {Full and Fast Calibration of the Heston Stochastic Volatility Model},
  journal = {arXiv},
  year    = {2016},
  eprint  = {1511.08718}
}

@techreport{AndersenLake2018Fourier,
  author      = {Andersen, Leif and Lake, Mark},
  title       = {Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature},
  institution = {Bank of America Merrill Lynch},
  year        = {2018}
}

@article{AndreasenHuge2011Interpolation,
  author = {Andreasen, J{\o}rgen and Huge, Brian},
  title  = {Volatility Interpolation},
  year   = {2011}
}

@article{Dupire1994Smile,
  author  = {Dupire, Bruno},
  title   = {Pricing with a Smile},
  journal = {Risk Magazine},
  year    = {1994}
}

@article{FritschCarlson1980Monotone,
  author  = {Fritsch, F. N. and Carlson, R. E.},
  title   = {Monotone Piecewise Cubic Interpolation},
  journal = {SIAM Journal on Numerical Analysis},
  year    = {1980}
}

@article{FritschButland1984Monotone,
  author  = {Fritsch, F. N. and Butland, J.},
  title   = {A Method for Constructing Local Monotone Piecewise Cubic Interpolants},
  journal = {SIAM Journal on Scientific and Statistical Computing},
  year    = {1984}
}

@misc{Jaeckel2015LetsBeRational,
  author       = {J{\"a}ckel, Peter},
  title        = {Let{\textquotesingle}s Be Rational},
  year         = {2015},
  howpublished = {Technical report},
  url          = {https://www.jaeckel.org/LetsBeRational.pdf},
  note         = {Robust algorithm for Black--Scholes implied volatility}
}