The local volatility surface: Unlocking the information in index option prices

Financial Analysts Journal

Volumn 52, Issue 4, 1996, Pages 25-36

  Derman, Emanuel ^a   Kani, Iraj ^a   Zou, Joseph Z ^a  

^a Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039626957     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n4.2008     Document Type: Article

References (7)

1. Black, Fischer, and Myron Scholes. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, vol. 81, no. 3 (May/June):637-54.
2. Derman, E., and I. Kani. 1994. "Riding on a Smile," RISK, vol. 7, no. 2 (February):32-39.
3. Dupire, B. 1994. "Pricing with a Smile." RISK, vol. 7, no. 1 (January):18-20.
4. Kani, I., and M. Kamal. Forthcoming. Goldman Sachs Quantitative Strategies Research Notes.
5. Merton, R.C. 1973. "Theory of Rational Options Pricing." Bell Journal of Economics and Management Science, vol. 4 (Spring):141-83.
6. Rubinstein, M. 1994. "Implied Binomial Trees," The Journal of Finance, vol. 49, no. 3 (July):771-818.
7. Zou, J. 1995. Goldman Sachs internal notes, unpublished.