Class information for:
Level 1: OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
1907 2432 29.8 46%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
755 2             BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS 12405
1907 1                   OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY 2432

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 OPTION PRICING authKW 1060996 11% 31% 276
2 IMPLIED VOLATILITY authKW 1025963 6% 59% 138
3 STOCHASTIC VOLATILITY authKW 851369 10% 29% 235
4 JOURNAL OF FUTURES MARKETS journal 453688 10% 15% 249
5 VARIANCE SWAPS authKW 421567 2% 88% 38
6 BUSINESS, FINANCE WoSSC 380328 59% 2% 1427
7 QUANTITATIVE FINANCE journal 347842 8% 15% 189
8 RISK NEUTRAL DENSITY authKW 303082 1% 93% 26
9 ASIAN OPTIONS authKW 291556 2% 41% 56
10 HESTON MODEL authKW 285587 2% 49% 46

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 Business, Finance 380328 59% 2% 1427
2 Social Sciences, Mathematical Methods 67388 21% 1% 502
3 Economics 42901 45% 0% 1099
4 Mathematics, Interdisciplinary Applications 22284 22% 0% 533
5 Statistics & Probability 5518 12% 0% 292
6 Operations Research & Management Science 1519 6% 0% 148
7 Mathematics, Applied 1072 10% 0% 232
8 Management 524 4% 0% 88
9 Agricultural Economics & Policy 155 1% 0% 15
10 Business 65 1% 0% 31

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 FINANCE 93767 11% 3% 256
2 CONTROL INCOMPLETE INFORMAT 50215 0% 100% 4
3 UNIV ECON SOCIAL ANAL 50215 0% 100% 4
4 STAT ECONOMETR MATH FINANCE 50211 0% 67% 6
5 BLOOMBERG LP COURANT 37662 0% 100% 3
6 DERIVAT VALIDAT GRP 37662 0% 100% 3
7 MATH INGN FINANCIERE 33474 0% 67% 4
8 ECON SCI QUANTITAT METHODS SEMEQ 28245 0% 75% 3
9 METROTECH 12 25108 0% 100% 2
10 SHANGHAI E SCI COMP 25108 0% 100% 2

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF FUTURES MARKETS 453688 10% 15% 249
2 QUANTITATIVE FINANCE 347842 8% 15% 189
3 JOURNAL OF DERIVATIVES 217193 2% 29% 60
4 REVIEW OF DERIVATIVES RESEARCH 167685 1% 37% 36
5 JOURNAL OF COMPUTATIONAL FINANCE 158613 2% 31% 41
6 SIAM JOURNAL ON FINANCIAL MATHEMATICS 121966 2% 20% 48
7 MATHEMATICAL FINANCE 99492 3% 12% 66
8 FINANCE AND STOCHASTICS 72023 2% 12% 49
9 JOURNAL OF BANKING & FINANCE 45249 5% 3% 126
10 JOURNAL OF FINANCE 27098 3% 3% 81

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 OPTION PRICING 1060996 11% 31% 276 Search OPTION+PRICING Search OPTION+PRICING
2 IMPLIED VOLATILITY 1025963 6% 59% 138 Search IMPLIED+VOLATILITY Search IMPLIED+VOLATILITY
3 STOCHASTIC VOLATILITY 851369 10% 29% 235 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
4 VARIANCE SWAPS 421567 2% 88% 38 Search VARIANCE+SWAPS Search VARIANCE+SWAPS
5 RISK NEUTRAL DENSITY 303082 1% 93% 26 Search RISK+NEUTRAL+DENSITY Search RISK+NEUTRAL+DENSITY
6 ASIAN OPTIONS 291556 2% 41% 56 Search ASIAN+OPTIONS Search ASIAN+OPTIONS
7 HESTON MODEL 285587 2% 49% 46 Search HESTON+MODEL Search HESTON+MODEL
8 VOLATILITY SMILE 239930 1% 66% 29 Search VOLATILITY+SMILE Search VOLATILITY+SMILE
9 BARRIER OPTIONS 207778 2% 33% 50 Search BARRIER+OPTIONS Search BARRIER+OPTIONS
10 LOCAL VOLATILITY 172993 1% 66% 21 Search LOCAL+VOLATILITY Search LOCAL+VOLATILITY

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 CHRISTOFFERSEN, P , HESTON, S , JACOBS, K , (2013) CAPTURING OPTION ANOMALIES WITH A VARIANCE-DEPENDENT PRICING KERNEL.REVIEW OF FINANCIAL STUDIES. VOL. 26. ISSUE 8. P. 1962 -2006 51 91% 7
2 CHRISTOFFERSEN, P , JACOBS, K , ORNTHANALAI, C , (2013) GARCH OPTION VALUATION: THEORY AND EVIDENCE.JOURNAL OF DERIVATIVES. VOL. 21. ISSUE 2. P. 8 -41 58 74% 2
3 PAPANTONIS, I , (2016) VOLATILITY RISK PREMIUM IMPLICATIONS OF GARCH OPTION PRICING MODELS.ECONOMIC MODELLING. VOL. 58. ISSUE . P. 104 -115 43 88% 0
4 BYUN, SJ , JEON, BH , MIN, B , YOON, SJ , (2015) THE ROLE OF THE VARIANCE PREMIUM IN JUMP-GARCH OPTION PRICING MODELS.JOURNAL OF BANKING & FINANCE. VOL. 59. ISSUE . P. 38 -56 44 86% 0
5 LUO, XG , ZHANG, JE , (2012) THE TERM STRUCTURE OF VIX.JOURNAL OF FUTURES MARKETS. VOL. 32. ISSUE 12. P. 1092-1123 44 88% 5
6 BERNALES, A , GUIDOLIN, M , (2014) CAN WE FORECAST THE IMPLIED VOLATILITY SURFACE DYNAMICS OF EQUITY OPTIONS? PREDICTABILITY AND ECONOMIC VALUE TESTS.JOURNAL OF BANKING & FINANCE. VOL. 46. ISSUE . P. 326 -342 38 81% 4
7 SHACKLETON, MB , TAYLOR, SJ , YU, P , (2010) A MULTI-HORIZON COMPARISON OF DENSITY FORECASTS FOR THE S&P 500 USING INDEX RETURNS AND OPTION PRICES.JOURNAL OF BANKING & FINANCE. VOL. 34. ISSUE 11. P. 2678-2693 46 73% 9
8 FABOZZI, FJ , LECCADITO, A , TUNARU, RS , (2014) EXTRACTING MARKET INFORMATION FROM EQUITY OPTIONS WITH EXPONENTIAL LEVY PROCESSES.JOURNAL OF ECONOMIC DYNAMICS & CONTROL. VOL. 38. ISSUE . P. 125-141 33 89% 1
9 LUDWIG, M , (2015) ROBUST ESTIMATION OF SHAPE-CONSTRAINED STATE PRICE DENSITY SURFACES.JOURNAL OF DERIVATIVES. VOL. 22. ISSUE 3. P. 56 -72 31 89% 0
10 JACQUIER, A , ROOME, P , (2015) ASYMPTOTICS OF FORWARD IMPLIED VOLATILITY.SIAM JOURNAL ON FINANCIAL MATHEMATICS. VOL. 6. ISSUE 1. P. 307 -351 27 100% 0

Classes with closest relation at Level 1


Rank Class id link
1 7689 AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION
2 7014 HIGH FREQUENCY DATA//REALIZED VOLATILITY//MICROSTRUCTURE NOISE
3 4711 TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS
4 1852 GARCH//GARCH MODELS//VALUE AT RISK
5 6857 FINANCE AND STOCHASTICS//INCOMPLETE MARKETS//FUNDAMENTAL THEOREM OF ASSET PRICING
6 32855 STRUCTURED PRODUCTS//GERMAN MARKET//CURRENCY FLOW
7 20897 COMONOTONICITY//SUPERMODULAR ORDER//COMPLETE MIXABILITY
8 8208 CREDIT DEFAULT SWAPS//CREDIT RISK//CREDIT SPREADS
9 22169 SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS//SKOROKHOD EMBEDDING
10 19884 MATSUMOTO YOR PROPERTY//BOUGEROLS IDENTITY//EXPONENTIAL BROWNIAN FUNCTIONALS

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