The dynamics of implied volatilities: a common principal components approach (Q1417894)

From MaRDI portal
Revision as of 18:08, 31 January 2024 by Import240129110113 (talk | contribs) (Added link to MaRDI item.)
scientific article
Language Label Description Also known as
English
The dynamics of implied volatilities: a common principal components approach
scientific article

    Statements

    title
    The dynamics of implied volatilities: a common principal components approach (English)
    0 references
    author
    Matthias R. Fengler
    0 references
    Wolfgang Karl Härdle
    0 references
    Christophe Villa
    0 references
    publication date
    6 January 2004
    0 references
    zbMATH DE Number
    2022001
    0 references
    zbMATH Keywords
    factor model
    0 references
    implied volatility surface
    0 references
    smile
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1417894&oldid=13583599"
    Powered by MediaWiki