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A semiparametric factor model for implied volatility surface dynamics

Matthias Fengler, Wolfgang K. Härdle & Enno Mammen

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abstract http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1145517
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-1-2007
journal Journal of Financial Econometrics
publisher Oxford University Press
ISSN 1479-8409
volume of journal 5
number of issue 2
page(s) 189-218
review double-blind review
   
citation Fengler, M., Härdle, W. K., & Mammen, E. (2007). A semiparametric factor model for implied volatility surface dynamics. Journal of Financial Econometrics, 5(2), 189-218.