Implied volatility surfaces: a comprehensive analysis using half a billion option prices
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DOI: 10.1007/s11147-023-09195-5
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More about this item
Keywords
Volatility surface construction; Single stock options; Implied volatility estimation; Prediction accuracy; Kernel smoother; Three-dimensional vs. one-dimensional smoothing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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