Modeling volatility risk in equity options market: a statistical approach (Q6599192)
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scientific article; zbMATH DE number 7907642
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| English | Modeling volatility risk in equity options market: a statistical approach |
scientific article; zbMATH DE number 7907642 |
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Modeling volatility risk in equity options market: a statistical approach (English)
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6 September 2024
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implied volatility surface
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principal component
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principal component analysis
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random matric theory
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options market
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correlation matrix
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systemic risk
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idiosyncratic risk
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computationally feasible
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dimension reduction
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significant factors
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spectrum
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convexity
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MP-threshold
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signal
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noise
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significant
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empirical density
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0.7835125923156738
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0.7703913450241089
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0.7641663551330566
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0.7268471121788025
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