A semiparametric factor model for implied volatility surface dynamics
Matthias R. Fengler; Wolfgang K. Härdle; Enno Mammen
| Year of publication: |
2007
|
|---|---|
| Authors: | Fengler, Matthias R. ; Härdle, Wolfgang ; Mammen, Enno |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 2, p. 189-218
|
| Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Index-Futures | Index futures | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory | Deutschland | Germany | 1998-2001 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003518308