1. Informativeness of truncation in the options market. (2025). Ryu, Doojin ; Lee, Geul ; Yang, LI.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015198.

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2. Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue.
   In: Papers.
   RePEc:arx:papers:2401.03776.

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3. Smirking in the energy market: Evidence from the Chinese crude oil options market. (2024). Zhang, Jine ; Ruan, Xinfeng ; Li, Lu-Lu ; Yue, Tian.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005696.

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4. Term spreads of implied volatility smirk and variance risk premium. (2023). Ruan, Xinfeng ; Guo, Wei ; Gehricke, Sebastian A ; Zhang, Jine.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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5. Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Varma, Jayanth ; Virmani, Vineet ; Kumar, Sudarshan ; Agarwalla, Sobhesh Kumar.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644.

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6. Risk‐neutral moments and return predictability: International evidence. (2023). Ruan, Xinfeng ; Zhang, Junyu.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:42:y:2023:i:5:p:1086-1111.

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7. The volatility index and volatility risk premium in China. (2023). Ruan, Xinfeng ; Yue, Tian ; Gehricke, Sebastian ; Zhang, Jine.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55.

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8. Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jine.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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9. VIX option‐implied volatility slope and VIX futures returns. (2022). Ruan, Xinfeng ; Yoon, Jungah ; Zhang, Jine.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1002-1038.

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10. Pricing VXX options by modeling VIX directly. (2022). Lin, Wei ; Zhang, Jine.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:5:p:888-922.

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11. Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach. (2022). Aschakulporn, Pakorn ; Zhang, Jine.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:25:y:2022:i:3:d:10.1007_s11147-022-09187-x.

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12. The implied volatility smirk of commodity options. (2021). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jine.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:1:p:72-104.

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13. A novel term structure stochastic model with adaptive correlation for trend analysis. (2021). Zhou, Shifei ; Lai, Shaojie ; Du, Jiangze.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5485-5498.

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14. Implied volatility estimation of bitcoin options and the stylized facts of option pricing. (2021). Gulzar, Saqib ; Zulfiqar, Noshaba.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00280-y.

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15. No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Ulze, Markus ; Stadler, Johannes ; Rathgeber, Andreas W.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:82:y:2021:i:c:p:163-184.

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16. The implied volatility smirk in the Chinese equity options market. (2021). Pan, Zheyao ; Yue, Tian ; Gehricke, Sebastian A ; Zhang, Jine.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001311.

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17. New Zealand whole milk powder options. (2021). Aschakulporn, Pakorn ; Zhang, Jine.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2201-2246.

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18. Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Gehricke, Sebastian A ; Zhang, Jine.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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19. Volatility information implied in the term structure of VIX. (2019). Wang, Yawhuei ; Hung, Mao Wei ; Yen, Kuangchieh ; Chang, Kaijiun.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:1:p:56-71.

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20. How do US options traders “smirk” on China? Evidence from FXI options. (2019). Gehricke, Sebastian A ; Zhang, Jine ; Li, Jianhui.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1450-1470.

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21. A smiling bear in the equity options market and the cross‐section of stock returns. (2019). Shim, Hyeongsop ; Park, Haehean ; Kim, Baeho.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1360-1382.

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22. Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model. (2019). Aguilar, Jean-Philippe ; Korbel, Jan.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:2:p:36-:d:219656.

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23. Local volatility and the recovery rate of credit default swaps. (2018). Fabozzi, Frank ; Das, Sanjiv R ; Jansen, Jeroen.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29.

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24. Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data. (2017). Kim, Sol ; Lee, Geul.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:20:y:2017:i:03:n:s0219091517500175.

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25. A new factor to explain implied volatility smirk. (2017). Fajardo, José.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:40:p:4026-4034.

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26. Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.

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27. A moment-based analytic approximation of the risk-neutral density of American options. (2016). Prokopczuk, Marcel ; Arismendi Zambrano, Juan.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:23:y:2016:i:6:p:409-444.

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28. Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3.

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29. A New Factor to Explain Implied Volatility Smirk. (2016). Fajardo, José.
    In: MPRA Paper.
    RePEc:pra:mprapa:71809.

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30. Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions. (2016). Muzzioli, Silvia ; Elyasiani, Elyas ; Ruggieri, Alessio.
    In: Department of Economics.
    RePEc:mod:depeco:0099.

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31. Barrier style contracts under Lévy processes: An alternative approach. (2015). Fajardo, José.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:53:y:2015:i:c:p:179-187.

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32. The Relation between Physical and Risk-neutral Cumulants. (2013). Zhang, Jin E. ; Zhao, Huimin ; Chang, Eric C..
    In: International Review of Finance.
    RePEc:bla:irvfin:v:13:y:2013:i:3:p:345-381.

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33. Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method. (2013). Bao, Wenqing ; Zhang, Jin E. ; Chen, Chunli.
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    RePEc:arx:papers:1311.4074.

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34. A closed-form solution to American options under general diffusion processes. (2012). Zhao, Jing ; Wong, Hoi Ying.
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    RePEc:taf:quantf:v:12:y:2012:i:5:p:725-737.

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35. The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange. (2011). Szu, Wen-Ming ; Yang, Wan-Ru ; Wang, Ming-Chun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:826-838.

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1. State price densities implied from weather derivatives. (2015). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda.
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2. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
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3. Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den. (2006). Mayoral, Silvia ; Bahsoun, Wael ; Gora, Pawel ; Morales, Manuel.
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4. Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution. (2005). Markose, Sheri ; Alentorn, Amadeo.
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5. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
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6. An empirical comparison of the performance of alternative option pricing models. (2005). Ferreira, Eva ; Gago, Monica ; Rubio, Gonzalo ; Leon, Angel.
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7. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang.
   In: SFB 649 Discussion Papers.
   RePEc:hum:wpaper:sfb649dp2005-020.

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8. Estimating the stochastic discount factor without a utility function. (2005). Issler, João ; Fernandes, Marcelo ; Araujo, Fabio.
   In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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9. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
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10. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. (2004). Wu, Liuren.
    In: Finance.
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11. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). Zhang, Xibin ; King, Maxwell ; Hyndman, Rob.
    In: Monash Econometrics and Business Statistics Working Papers.
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12. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Econometric Society 2004 North American Winter Meetings.
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13. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). King, Maxwell ; Hyndman, Rob ; Zhang, Xibin.
    In: Econometric Society 2004 Australasian Meetings.
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14. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
    In: Finance.
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15. What Do Financial Markets Think of War in Iraq?. (2003). Zitzewitz, Eric ; Wolfers, Justin ; Leigh, Andrew.
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16. Nonparametric pricing of multivariate contingent claims. (2003). Rosenberg, Joshua.
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17. The Importance of the Loss Function in Option Valuation. (2003). Jacobs, Kris.
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18. Option Valuation with Conditional Skewness. (2003). Heston, Steve ; Jacobs, Kris.
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19. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
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20. The Finite Moment Log Stable Process and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
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21. Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Foresi, Silverio .
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22. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
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23. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
    In: Monash Econometrics and Business Statistics Working Papers.
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24. An empirical comparison of the performance of alternative option pricing models. (2002). Gago, Monica ; Rubio, Gonzalo.
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25. Determinants of the implied volatility function on the Italian Stock Market. (2001). Beber, Alessandro.
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26. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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27. Financial innovation and arbitrage in the Spanish bond market. (2001). Lopez, Susana ; Balbas, Alejandro.
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28. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities. (2001). Timmermann, Allan ; Guidolin, Massimo.
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29. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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30. RECOVERING LOCAL VOLATILITY FUNCTIONS OF FORWARD LIBOR RATES. (2000). Kuan, Grace.
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31. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
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32. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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33. Testing the stability of implied probability density functions. (2000). Bliss, Robert R ; Panigirtzoglou, Nikolaos.
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34. A finite element approach to the pricing of discrete lookbacks with stochastic volatility. (1999). P. A. Forsyth, K. R. Vetzal, R. Zvan, .
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35. An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazils Real Plan, 1994-1997. (1999). Campa, Jose ; P. H. Kevin Chang, ; Refalo, James F..
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37. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
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39. Recovering Risk Aversion from Option Prices and Realized Returns. (1998). Jackwerth, Jens.
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40. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
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41. What Data Should Be Used to Price Options?. (1998). Ghysels, Eric ; Chernov, Mikhail.
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43. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
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44. Implied Exchange Rate Distributions: Evidence from OTC Option Markets. (1997). Campa, Jose ; Reider, Robert L. ; P. H. Kevin Chang, .
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45. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. (1997). Campa, Jose ; P. H. Kevin Chang, .
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46. Nonparametric Methods and Option Pricing. (1997). Renault, Eric ; Ghysels, Eric ; Patilea, Valentin ; Torres, Olivier.
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47. Implied Volatility Functions: Empirical Tests. (1996). Dumas, Bernard ; Whaley, Robert E. ; Fleming, Jeff .
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48. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
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49. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
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50. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Rubio, Gonzalo ; Angel León, .
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