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A semiparametric factor model for implied volatility surface dynamics

Matthias Fengler, Wolfgang K. Härdle & Enno Mammen

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versione breve http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1145517
   
tipo Journal paper
   
parole chiave
   
lingua English
kind of paper journal article
data di apparenza 1-1-2007
giornale Journal of Financial Econometrics
Editore Oxford University Press
ISSN 1479-8409
edizione del giornale 5
numero del giornale 2
pagine 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.