Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small …
SFB 649 Discussion Paper 2007-027
Long Memory Persistence
in the Factor of Implied
Volatility …