Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
Keywords: semiparametric models, factor models, implied volatility surface, vector autore-
gressive process, asymptotic …
nancial engineering, it is common to analyze the dynamics of implied volatility surface for
pricing exotic options.
A …