The dynamics of implied volatilities: a common principal components approach
type: Item
instance of: scholarly article
title: The dynamics of implied volatilities: a common principal components approach
zbMATH Open document ID: 1059.91038
author: Matthias R. Fengler
author: Christophe Villa
author: Wolfgang K. Härdle
published in: Review of Derivatives Research
publication date: 2004-01-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2022001
zbMATH Keywords: factor model
zbMATH Keywords: implied volatility surface
zbMATH Keywords: smile
Wikidata QID: Q56482428
MaRDI profile type: Publication
full work available at URL: s11147-004-4810-8
OpenAlex ID: W3124631790
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DOI: 10.1007/S11147-004-4810-8
description: scientific article; zbMATH DE number 2022001