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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
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Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010
Persistent link: https://www.econbiz.de/10009240321
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A Dynamic Copula Approach to Recovering The Index Implied Volatility Skew
Fengler, Matthias R. - 2013
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30 dimensional...
Persistent link: https://www.econbiz.de/10013092464