As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … nancial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low …

The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option …, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of …