Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
Keywords: semiparametric models, factor models, implied volatility surface, vector autore-
gressive process, asymptotic …
nancial engineering, it is common to analyze the dynamics of implied volatility surface for
pricing exotic options.
A ….4
0.45
0.5
time to maturitymoneyness
implied volatility
0.8
1
1.2
1.4 0 0.1
0.2 0.3
0.4 0.5
0.1
0.15
0.2
0.25
0.3
0.35
0 …