The dynamics of implied volatilities: A common principal components approach
Year of publication: |
2001
|
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Authors: | Fengler, Matthias R. ; Härdle, Wolfgang K. ; Villa, Christophe |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | Common Principal Component Analysis | Implied Volatility Surface | Principal Component Analysis | Smile |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2001,38 |
Classification: | C13 - Estimation ; C49 - Econometric and Statistical Methods: Special Topics. Other ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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The dynamics of implied volatilities: A common principal components approach
Fengler, Matthias R., (2001)
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The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias, (2003)
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Forecasting Implied Volatility Surfaces
Audrino, Francesco, (2007)
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The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias R., (2003)
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R., (2003)
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R., (2001)
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