EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/22240
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorFengler, Matthias R.en_US
dc.contributor.authorWang, Qihuaen_US
dc.date.accessioned2009-01-29T14:55:01Z-
dc.date.available2009-01-29T14:55:01Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050259-
dc.identifier.urihttp://hdl.handle.net/10419/22240-
dc.description.abstractNonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility data from observed option prices, in the second step the actual fitting algorithm is applied. These two-step estimators may be seriously biased when option prices are observed with measurement errors. Moreover, after the nonlinear transformation of the option prices the error distribution will be complicated and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least squares kernel smoother of the Black-Scholes formula. Consistency and the asymptotic distribution of the estimate are provided. We demonstrate the estimator using German DAX index option data to recover the smile and the implied volatility surface.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,25en_US
dc.subject.ddc330en_US
dc.subject.keywordimplied volatility surfaceen_US
dc.subject.keywordsmileen_US
dc.subject.keywordBlack-Scholes formulaen_US
dc.subject.keywordleast squares kernel smoothingen_US
dc.subject.stwBlack-Scholes-Modellen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwMethode der kleinsten Quadrateen_US
dc.subject.stwSchätzungen_US
dc.subject.stwIndex-Futuresen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.titleFitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surfaceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379254557en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200325-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
dpsfb200325.pdf2.66 MBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.