Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62224
Authors: 
Härdle, Wolfgang
Schmidt, Peter
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,97
Abstract: 
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing shift and curvature of the term structure of at the money DAX options. We present a risk management tool for options portfolios using the Maximum Loss methodology based on Principal Components.
Subjects: 
Implied Volatility
DAX Options
Term Structure Movements
PCA
Maximum Loss
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





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