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The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10010274129
market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …
Persistent link: https://www.econbiz.de/10010274140
market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …
Persistent link: https://www.econbiz.de/10005678005
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 number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10005678046
market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …
Persistent link: https://www.econbiz.de/10003636008