首页 | 本学科首页   官方微博 | 高级检索  
     检索      


A semiparametric factor model for implied volatility surface dynamics
Authors:Fengler  Matthias R; Hardle  Wolfgang K; Mammen  Enno
Abstract:We propose a semiparametric factor model, which approximatesthe implied volatility surface (IVS) in a finite dimensionalfunction space. Unlike standard principal component approachestypically used to reduce complexity, our approach is tailoredto the degenerated design of IVS data. In particular, we onlyfit in the local neighborhood of the design points by exploitingthe expiry effect present in option data. Using DAX index optiondata, we estimate the nonparametric components and a low-dimensionaltime series of latent factors. The modeling approach is completedby studying vector autoregressive models fitted to the latentfactors.
Keywords:functional principal component analysis  implied volatility surface  semiparametric factor models
本文献已被 Oxford 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号