Dynamics of implied volatility surfaces from random matrix theory

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 14, 2010, Pages 2762-2769

  Kim, Min Jae ^a   Lee, Sun Young ^a   Hwang, Dong Il ^a   Kim, Soo Yong ^a   Ko, In Kyu ^a  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

Author keywords

Implied volatility surface; KOSPI 200 futures options; Non parametric Nadaraya Watson estimator; Random matrix theory

Indexed keywords

DYNAMICS; EIGENVALUES AND EIGENFUNCTIONS; RANDOM VARIABLES;

IMPLIED VOLATILITY; KOSPI 200 FUTURES OPTIONS; LEVERAGE EFFECTS; NON-PARAMETRIC; RANDOM MATRIX THEORY; SHORT TIME INTERVALS; SURFACE DYNAMICS; SURFACE MOVEMENT;

MATRIX ALGEBRA;

EID: 77951206750     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.02.042     Document Type: Article

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