Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22240
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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 impliedvolatility smile are very popular, since they do not impose a specific functional formon the estimate. Traditionally, these methods are two-step estimators. The first steprequires to extract implied volatility data from observed option prices, in the secondstep the actual fitting algorithm is applied. These two-step estimators may be seriouslybiased when option prices are observed with measurement errors. Moreover,after the nonlinear transformation of the option prices the error distribution will becomplicated and less tractable. In this study, we propose a one-step estimator for theimplied volatility surface based on a least squares kernel smoother of the Black-Scholesformula. Consistency and the asymptotic distribution of the estimate are provided.We demonstrate the estimator using German DAX index option data to recover thesmile and the implied volatility surface.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion papers of interdisciplinary research project 373 |x2003,25en_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-

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