Dynamics of implied volatility surfaces from random matrix theory
Year of publication: |
2010
|
---|---|
Authors: | Kim, Min Jae ; Lee, Sun Young ; Hwang, Dong Il ; Kim, Soo Yong ; Ko, In Kyu |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 14, p. 2762-2769
|
Publisher: |
Elsevier |
Subject: | Random matrix theory | Implied volatility surface | Non-parametric Nadaraya–Watson estimator | KOSPI 200 futures options |
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