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2005-04-01Buch DOI: 10.18452/3888
DSFM fitting of Implied Volatility Surfaces
dc.contributor.authorBorak, Szymon
dc.contributor.authorFengler, Matthias R.
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-15T22:54:16Z
dc.date.available2017-06-15T22:54:16Z
dc.date.created2005-09-01
dc.date.issued2005-04-01
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4540
dc.description.abstractThe implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. The data reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of the model and apply it to DAX option prices.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subject.ddc330 Wirtschaft
dc.titleDSFM fitting of Implied Volatility Surfaces
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10045429
dc.identifier.doihttp://dx.doi.org/10.18452/3888
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages9
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue22
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

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