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~person:"Chen, Jia"
~person:"Fengler, Matthias R."
~subject:"Optionspreistheorie"
~type_genre:"Sammelwerk"
~type_genre:"Working Paper"
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Optionspreistheorie
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sure independence screening
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ultra-high dimensional time series
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Chen, Jia
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R.
;
Härdle, Wolfgang
;
Villa, Christophe
-
2001
-gamma neutral, vega sensitive option portfolios. -- Common
Principal
Component
Analysis
; Implied Volatility Surface ;
Principal
…
Component
Analysis
; Smile …
Persistent link: https://www.econbiz.de/10009613597
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