2009-03-23Buch
A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation ...
