Modeling volatility risk in equity options market : a statistical approach
D. Dobi and M. Avellandeda
| Year of publication: |
2023
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|---|---|
| Authors: | Dobi, Doris ; Avellaneda, Marco |
| Published in: |
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference. - New Jersey : World Scientific, ISBN 978-981-12-5586-1. - 2023, p. 257-292
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| Subject: | implied volatility surface | principal component | principal component analysis | random matric theory | options market | correlation matrix | systemic risk | idiosyncratic risk | computationally feasible | dimension reduction | significant factors | spectrum | convexity | MP-threshold | signal | noise | significant | empirical density | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risiko | Risk | Optionsgeschäft | Option trading | Korrelation | Correlation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811259142_0014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014366655