Arbeitspapier
DSFM fitting of implied volatility surfaces
The 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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2005,022
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Borak, Szymon
Fengler, Matthias R.
Härdle, Wolfgang Karl
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2005
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Borak, Szymon
- Fengler, Matthias R.
- Härdle, Wolfgang Karl
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2005
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
Credit-Implied Forward Volatility and Volatility Expectations
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Calibration Design of Implied Volatility Surfaces
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