A semiparametric factor model for implied volatility surface dynamics

Journal of Financial Econometrics

Volumn 5, Issue 2, 2007, Pages 189-218

  Fengler, Matthias R ^a   Härdle, Wolfgang K ^b   Mammen, Enno ^c  

^a Trading and Derivatives   (Germany)

^b Center for Applied Statistics and Economics   (Germany)

^c UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

Functional principal component analysis; Implied volatility surface; Semiparametric factor models

Indexed keywords

EID: 34047220176     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbm005     Document Type: Article

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