Please use this identifier to cite or link to this item:
Borak, Szymon
Fengler, Matthias R.
Härdle, Wolfgang Karl
Year of Publication: 
Series/Report no.: 
SFB 649 Discussion Paper No. 2005,022
The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. The data reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of the model and apply it to DAX option prices.
Document Type: 
Working Paper

Files in This Item:
518.03 kB

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