Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
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- Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003.
"The Dynamics of Implied Volatilities: A Common Principal Components Approach,"
Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
- Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe, 2001. "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers 2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christophe Villa & M.R. Fengler & W.K. Hardle, 2003. "The dynamics of implied volatilities : a common principal components approach," Post-Print halshs-00069509, HAL.
- Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron, 2023. "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs," Papers 2303.00859, arXiv.org, revised Dec 2023.
- repec:hum:wpaper:sfb649dp2005-020 is not listed on IDEAS
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Keywords
implied volatility surface; smile; Black-Scholes formula; least squares kernel smoothing;All these keywords.
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