Common Functional Implied Volatility Analysis
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Cited by:
- 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," Other publications TiSEM 51a09fbd-293b-4386-bfe9-b, Tilburg University, School of Economics and Management.
- Cizek, P. & Tamine, J. & Härdle, W.K., 2006. "Smoothed L-estimation of Regression Function," Discussion Paper 2006-20, Tilburg University, Center for Economic Research.
- Bali, Juan Lucas & Boente, Graciela, 2017. "Robust estimators under a functional common principal components model," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 424-440.
- 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.
More about this item
Keywords
implied volatility; Black-Scholes; option portfolio; pricing;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- 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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