Fengler, Matthias; Härdle, Wolfgang; Villa, Christophe - In: Review of Derivatives Research 6 (2003) 3, pp. 179-202
of implied volatilities is neglected. In this paper we analyze the implied volatility surface along maturity slices with … that implied volatility surface dynamics can be traced back to a common eigenstructure in maturity slices. This empirical … result is used to set up a factor model for implied volatility surface dynamics. Copyright Kluwer Academic Publishers 2003 …