Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62224 
Year of Publication: 
2000
Series/Report no.: 
SFB 373 Discussion Paper No. 2000,97
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
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

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