Search Results - subject:"implied volatility surface"

Carmona, René; Nadtochiy, Sergey - In: Finance and Stochastics 16 (2012) 1, pp. 63-104

Persistent link: https://www.econbiz.de/10009400215

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Persistent link: https://www.econbiz.de/10010310798

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Fengler, Matthias R.; Wang, Qihua - 2003

Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …. We demonstrate the estimator using German DAX index option data to recover the smile and the implied volatility surface. …

Persistent link: https://www.econbiz.de/10010296461

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - Sonderforschungsbereich 373, Quantifikation und … - 2003

Persistent link: https://www.econbiz.de/10010983799

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Fengler, Matthias R.; Wang, Qihua - Sonderforschungsbereich 373, Quantifikation und … - 2003

Persistent link: https://www.econbiz.de/10010956527

FORWARD AND FUTURE IMPLIED VOLATILITY

GLASSERMAN, PAUL; WU, QI - In: International Journal of Theoretical and Applied … 14 (2011) 03, pp. 407-432

We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the...

Persistent link: https://www.econbiz.de/10009643836

Dynamics of implied volatility surfaces from random matrix theory

Kim, Min Jae; Lee, Sun Young; Hwang, Dong Il; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2762-2769

We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To … marketwide knowledge of the implied volatility surface movement such as the level, skew, and smile effect. These dynamics has the … ergodic property and long range autocorrelation. We also study the relationship between the three implied volatility surface …

Persistent link: https://www.econbiz.de/10010589882

The dynamics of implied volatilities: A common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, … - 2001

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal …

Persistent link: https://www.econbiz.de/10010310368

The dynamics of implied volatilities: A common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, … - Sonderforschungsbereich 373, Quantifikation und … - 2001

Persistent link: https://www.econbiz.de/10010983841

Option trading strategies based on semi-parametric implied volatility surface prediction

Audrino, Francesco; Colangelo, Dominik - School of Economics and Political Science, Universität … - 2009

We propose constructing a set of trading strategies using predicted option returns for a relatively small forecasting period of ten trading days to form profitable hold-to-expiration, equally weighted, zero-cost portfolios based on 1-month at-the-money call and put options. We use a statistical...

Persistent link: https://www.econbiz.de/10004963497