Measuring implied volatility surface risk using principal components analysis
Year of publication: |
2000
|
---|---|
Authors: | Sylla, Alpha ; Villa, Christophe |
Published in: |
Measuring risk in complex stochastic systems. - New York : Springer, ISBN 0-387-98996-X. - 2000, p. 131-148
|
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Messung | Measurement | Hauptkomponentenanalyse | Principal component analysis |
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