Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low … the implied volatility surface (IVS) in a finite dimensional function space,
allowing for a low dimensional factor … some macroeconomic variables of the Euro -
economy.
Keywords: Implied volatility surface, dynamic semiparametric factor …