Analysis of Implied Volatility Surfaces ; Analyse von Impliziten Volatilitätsflächen
Year of publication: |
2007-05-30
|
---|---|
Authors: | Schnellen, Marina |
Subject: | 310 Statistik | EGC 070 | Mathematics and Natural Science | Implizite Volatilität | Implizite Volatilitätsfläche | log returns | Hauptkomponentenanalyse | lokale Polynomschätzer | Funktionaler Varianzprozess | implied volatility | implied volatility surface | principal component analysis | local polynomial smoothing | functional variance process |
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