Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
Year of publication: |
2004
|
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Authors: | Weron, Rafal ; Wojcik, Slawomir |
Institutions: | Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska |
Subject: | Volatility surface | ODAX option | Principal Component Analysis | Common PCA |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | Polish |
Notes: | Published in Prace Naukowe Akademii Ekonomicznej we Wroc³awiu 1037 (2004) 315-324, in Polish. Number HSC/04/03 11 pages |
Classification: | c38 ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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