The dynamics of implied volatilities: a common principal components approach

DOI10.1007/s11147-004-4810-8zbMath1059.91038OpenAlexW3124631790WikidataQ56482428 ScholiaQ56482428MaRDI QIDQ1417894

Christophe Villa, Matthias R. Fengler, Wolfgang Karl Härdle

Publication date: 6 January 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-004-4810-8

zbMATH Keywords

smilefactor modelimplied volatility surface

Mathematics Subject Classification ID

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