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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics

Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius - 2009

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied …

Persistent link: https://www.econbiz.de/10010274154

VAR modeling for dynamic semiparametric factors of volatility strings

Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; … - 2006

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...

Persistent link: https://www.econbiz.de/10010319192

A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics

Cao, Ji; Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

As a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied …

Persistent link: https://www.econbiz.de/10005652743

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Persistent link: https://www.econbiz.de/10005677917

DSFM fitting of Implied Volatility Surfaces

Borak, Szymon; Fengler, Matthias; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of …

Persistent link: https://www.econbiz.de/10005677980