Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22240 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorFengler, Matthias R.en
dc.contributor.authorWang, Qihuaen
dc.date.accessioned2009-01-29T14:55:01Z-
dc.date.available2009-01-29T14:55:01Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050259en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,25en
dc.subject.ddc330en
dc.subject.keywordimplied volatility surfaceen
dc.subject.keywordsmileen
dc.subject.keywordBlack-Scholes formulaen
dc.subject.keywordleast squares kernel smoothingen
dc.subject.stwBlack-Scholes-Modellen
dc.subject.stwOptionspreistheorieen
dc.subject.stwVolatilitäten
dc.subject.stwMethode der kleinsten Quadrateen
dc.subject.stwSchätzungen
dc.subject.stwIndex-Futuresen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.titleFitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface-
dc.typeWorking Paperen
dc.identifier.ppn379254557en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200325en

Files in This Item:
File
Size





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