The dynamics of the S\&P 500 implied volatility surface
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Publication:375491
DOI10.1023/A:1009642705121zbMath1274.91488MaRDI QIDQ375491
George Skiadopoulos, Les Clewlow, Stewart D. Hodges
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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