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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Matthias Fengler & Qihua Wang

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abstract http://papers.ssrn.com/sol3/papers.cfm?abstract_id=433200
   
type working paper (English)
   
keywords
   
date of appearance 2003
series title Discussion Paper
publisher SEPS, University of St. Gallen, Switzerland (St. Gallen)
review not reviewed
   
citation Fengler, M., & Wang, Q. (2003). Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface. Discussion Paper: SEPS, University of St. Gallen, Switzerland (St. Gallen).