Least Squares Kernel Smoothing of the Implied Volatility Smile

DOI10.1007/978-3-540-69179-2_9zbMath1258.91227OpenAlexW120063839MaRDI QIDQ3542256

Qi Hua Wang, Matthias R. Fengler

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_9

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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