Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Maxim Ulrich, Lukas Zimmer, Constantin Merbecks
| Year of publication: |
2023
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|---|---|
| Authors: | Ulrich, Maxim ; Zimmer, Lukas ; Merbecks, Constantin |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 26.2023, 2/3, p. 135-169
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| 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 |
| 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 |
Persistent link: https://www.econbiz.de/10014423871