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

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The dynamics of implied volatilities: a common principal components approach
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    title
    The dynamics of implied volatilities: a common principal components approach (English)
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    author
    Matthias R. Fengler
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    Christophe Villa
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    Wolfgang Karl Härdle
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    publication date
    6 January 2004
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    zbMATH DE Number
    2022001
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    zbMATH Keywords
    factor model
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    implied volatility surface
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    smile
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    Wikidata QID
    Q56482428
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