Semiparametric Modeling of Implied Volatility

By Matthias R. Fengler. 2005

123 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/f13bb65f27c0b8381fc107b57f993495b9c56692

Citations in the corpus

• Common functional principal components (2009, unknown): “ce, such a factor model can also be used in Monte Carlo based pricing methods and for risk-management (hedging) purposes. For comprehensive monographs on IV and IV-factor models, see Hafner (2004) or Fengler (2005b). The idea of constructing and analyzing the factor models for log-IVreturns for diffe”