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VAR Modeling for Dynamic Loadings Driving Volatility Strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - 2008
The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...
Persistent link: https://www.econbiz.de/10009471706
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VAR modeling for dynamic semiparametric factors of volatility strings
Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; … - 2006
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10010319192
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VAR Modeling for Dynamic Loadings Driving Volatility Strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - In: Journal of Financial Econometrics 6 (2008) 3, pp. 361-381
The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...
Persistent link: https://www.econbiz.de/10004998221
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VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10005677917
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VAR Modeling for´Dynamic Semiparametric Factors of VolatilityStrings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10005861696
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VAR modeling for dynamic semiparametric factors of volatility strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - 2006
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10003324254
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VAR modeling for dynamic loadings driving volatility strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 361-381
Persistent link: https://www.econbiz.de/10003748062
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VAR Modeling for Dynamic Loadings Driving Volatility Strings
Brüggemann, Ralf - 2016
The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...
Persistent link: https://www.econbiz.de/10012747360
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VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Brüggemann, Ralf - 2017
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10012966228