VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
نویسندگان
چکیده
منابع مشابه
VAR Modeling of Factor Loading Series from a Dynamic Semiparametric Model for Implied Volatility String Dynamics∗
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 (IVS) in a finite dimensional function space allowing for a low dimensional factor representation of th...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.2894385