Common Functional Implied Volatility Analysis
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- Cizek, P. & Tamine, J. & Härdle, W., 2008.
"Smoothed L-estimation of regression function,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(12), pages 5154-5162, August.
- Tamine, Julien & Čížek, Pavel & Härdle, Wolfgang, 2002. "Smoothed L-estimation of regression function," SFB 373 Discussion Papers 2002,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Cizek, P. & Tamine, J. & Härdle, W.K., 2006. "Smoothed L-estimation of Regression Function," Discussion Paper 2006-20, Tilburg University, Center for Economic Research.
- repec:eee:csdana:v:113:y:2017:i:c:p:424-440 is not listed on IDEAS
- Szymon Borak & Matthias Fengler & Wolfgang Härdle, 2005. "DSFM fitting of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2005-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Keywordsimplied volatility; Black-Scholes; option portfolio; pricing;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-11 (All new papers)
- NEP-ETS-2006-03-11 (Econometric Time Series)
- NEP-FIN-2006-03-11 (Finance)
- NEP-FMK-2006-03-11 (Financial Markets)
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