Modeling volatility risk in equity options market a statistical approach
Gespeichert in:
| Veröffentlicht in: | Hebrew University FinTech Center (2019 : Jerusalem) Options - 45 years since the publication of the Black-Scholes-Merton model |
|---|---|
| 1. Verfasser: | |
| Weitere Verfasser: | |
| Pages: | 45 |
| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
2023
|
| Schlagworte: |
implied volatility surface, principal component, principal component analysis, random matric theory, options market, correlation matrix, systemic risk
> implied volatility surface
> principal component
> principal component analysis
> random matric theory
> options market
> correlation matrix
> systemic risk
> idiosyncratic risk
> computationally feasible
> dimension reduction
> significant factors
> spectrum
> convexity
> MP-threshold
> signal
> noise
> significant
> empirical density
> Aufsatz im Buch
|
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Tag hinzufügen | ISBN: | 9789811255861 |
|---|