Dynamics of the implied volatility surface. Theory and empirical evidence
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Publication:5247237
DOI10.1080/14697688.2012.686668zbMath1402.62258OpenAlexW2038524759MaRDI QIDQ5247237
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.686668
Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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