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Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
Weron, Rafal
;
Wojcik, Slawomir
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2004
We analyze the implied volatility surface structure of ODAX
options
as traded on DTB (currently Eurex). We apply PCA to …
Persistent link: https://www.econbiz.de/10009004192
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