The dynamics of implied volatilities: a common principal components approach (Q1417894): Difference between revisions
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| Property / author: Wolfgang Karl Härdle / rank | |||
Revision as of 15:25, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The dynamics of implied volatilities: a common principal components approach |
scientific article |
Statements
The dynamics of implied volatilities: a common principal components approach (English)
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6 January 2004
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factor model
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implied volatility surface
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smile
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