Implied volatility surfaces : a comprehensive analysis using half a billion option prices

Maxim Ulrich, Lukas Zimmer, Constantin Merbecks

Year of publication:	2023
Authors:	Ulrich, Maxim ; Zimmer, Lukas ; Merbecks, Constantin
Subject:	Implied volatility estimation \| Kernel smoother \| Prediction accuracy \| Single stock options \| Three-dimensional vs. one-dimensional smoothing \| Volatility surface construction \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Aktienoption \| Stock option \| Prognoseverfahren \| Forecasting model \| Black-Scholes-Modell \| Black-Scholes model \| Optionsgeschäft \| Option trading \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Derivat \| Derivative \| Schätzung \| Estimation

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s11147-023-09195-5 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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