Implied volatility string dynamics
Year of publication: |
2003
|
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Authors: | Fengler, Matthias R. ; Härdle, Wolfgang ; Mammen, Enno |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Implied Volatility Surface | Smile | Generalized Additive Models | Backfitting | Functional Principal Component Analysis |
Series: | SFB 373 Discussion Paper ; 2003,54 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 73007675X [GVK] hdl:10419/66280 [Handle] RePEc:zbw:sfb373:200354 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G12 - Asset Pricing |
Source: |
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Implied volatility string dynamics
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Implied volatility string dynamics
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