Modeling volatility risk in equity options market: a statistical approach

DOI10.1142/9789811259142_0014zbMATH Open1544.91319MaRDI QIDQ6599192FDOQ6599192

Authors: Doris Dobi, Marco Avellaneda 

Publication date: 6 September 2024

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zbMATH Keywords

noisesignaldimension reductionprincipal component analysiscorrelation matrixconvexityspectrumsystemic riskidiosyncratic riskimplied volatility surfacesignificant factorsprincipal componentempirical densitysignificantoptions marketrandom matric theorycomputationally feasibleMP-threshold

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random matrices (algebraic aspects) (15B52)

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