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The dynamics of implied volatilities: A common principle components approach

Matthias Fengler, Wolfgang K. Härdle & Christophe Villa

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abstract
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-1-2003
journal Review of Derivatives Research
publisher Springer
ISSN 1380-6645
volume of journal 6
number of issue 3
page(s) 179-202
review double-blind review
   
citation Fengler, M., Härdle, W. K., & Villa, C. (2003). The dynamics of implied volatilities: A common principle components approach. Review of Derivatives Research, 6(3), 179-202.