The dynamics of implied volatilities: A common principal components approach
Year of publication: |
2001
|
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Authors: | Fengler, Matthias R. ; Härdle, Wolfgang Karl ; Villa, Christophe |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Common Principal Component Analysis | Implied Volatility Surface | Principal Component Analysis | Smile |
Series: | SFB 373 Discussion Paper ; 2001,38 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 724896961 [GVK] hdl:10419/62716 [Handle] RePEc:zbw:sfb373:200138 [RePEc] |
Classification: | C13 - Estimation ; C49 - Econometric and Statistical Methods: Special Topics. Other ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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The dynamics of implied volatilities: A common principal components approach
Fengler, Matthias R., (2001)
-
The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias, (2003)
-
The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R., (2001)
- More ...
-
The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R., (2001)
-
The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R., (2003)
-
The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias R., (2003)
- More ...