Matches in SemOpenAlex for { <https://semopenalex.org/work/W3043454505> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W3043454505 endingPage "87" @default.
- W3043454505 startingPage "73" @default.
- W3043454505 abstract "The implied volatility function and the implied volatility surface are both key tools for analyzing financial and derivative markets and various approaches were proposed to estimate theses quantities. On the other hand, theoretical, practical, and also computational pitfalls occur in most of them. An innovative estimation method based on an idea of a sparse estimation and an atomic pursuit approach is introduced to overcome some of these limits: the quantile LASSO estimation implies robustness with respect to common market anomalies; the panel data structure allows for a time dependent modeling; changepoints introduce some additional flexibility in order to capture some sudden changes in the market and linear constraints ensure the arbitrage-free validity; last but not least, the interpolated implied volatility concept overcomes the problem of consecutive maturities when observing the implied volatility over time. Some theoretical backgrounds for the quantile LASSO estimation method are presented, the idea of the interpolated volatilities is introduced, and the proposed estimation approach is applied to estimate the implied volatility of the Erste Group Bank AG call options quoted in EUREX Deutschland Market." @default.
- W3043454505 created "2020-07-23" @default.
- W3043454505 creator A5019864034 @default.
- W3043454505 creator A5079124637 @default.
- W3043454505 creator A5081726824 @default.
- W3043454505 date "2020-01-01" @default.
- W3043454505 modified "2023-09-24" @default.
- W3043454505 title "Implied Volatility Surface Estimation via Quantile Regularization" @default.
- W3043454505 cites W1867580323 @default.
- W3043454505 cites W2012620249 @default.
- W3043454505 cites W2054596996 @default.
- W3043454505 cites W2077791698 @default.
- W3043454505 cites W2084931349 @default.
- W3043454505 cites W2118673550 @default.
- W3043454505 cites W2148080284 @default.
- W3043454505 cites W2519252202 @default.
- W3043454505 cites W2734134993 @default.
- W3043454505 cites W2982028656 @default.
- W3043454505 cites W2994802072 @default.
- W3043454505 cites W2999550841 @default.
- W3043454505 cites W3031754953 @default.
- W3043454505 cites W3044980615 @default.
- W3043454505 doi "https://doi.org/10.1007/978-3-030-48814-7_4" @default.
- W3043454505 hasPublicationYear "2020" @default.
- W3043454505 type Work @default.
- W3043454505 sameAs 3043454505 @default.
- W3043454505 citedByCount "1" @default.
- W3043454505 countsByYear W30434545052023 @default.
- W3043454505 crossrefType "book-chapter" @default.
- W3043454505 hasAuthorship W3043454505A5019864034 @default.
- W3043454505 hasAuthorship W3043454505A5079124637 @default.
- W3043454505 hasAuthorship W3043454505A5081726824 @default.
- W3043454505 hasBestOaLocation W30434545051 @default.
- W3043454505 hasConcept C118671147 @default.
- W3043454505 hasConcept C149782125 @default.
- W3043454505 hasConcept C154945302 @default.
- W3043454505 hasConcept C162324750 @default.
- W3043454505 hasConcept C187736073 @default.
- W3043454505 hasConcept C2776135515 @default.
- W3043454505 hasConcept C33923547 @default.
- W3043454505 hasConcept C41008148 @default.
- W3043454505 hasConcept C91602232 @default.
- W3043454505 hasConcept C96250715 @default.
- W3043454505 hasConceptScore W3043454505C118671147 @default.
- W3043454505 hasConceptScore W3043454505C149782125 @default.
- W3043454505 hasConceptScore W3043454505C154945302 @default.
- W3043454505 hasConceptScore W3043454505C162324750 @default.
- W3043454505 hasConceptScore W3043454505C187736073 @default.
- W3043454505 hasConceptScore W3043454505C2776135515 @default.
- W3043454505 hasConceptScore W3043454505C33923547 @default.
- W3043454505 hasConceptScore W3043454505C41008148 @default.
- W3043454505 hasConceptScore W3043454505C91602232 @default.
- W3043454505 hasConceptScore W3043454505C96250715 @default.
- W3043454505 hasLocation W30434545051 @default.
- W3043454505 hasOpenAccess W3043454505 @default.
- W3043454505 hasPrimaryLocation W30434545051 @default.
- W3043454505 hasRelatedWork W2521616462 @default.
- W3043454505 hasRelatedWork W2529246537 @default.
- W3043454505 hasRelatedWork W3121219552 @default.
- W3043454505 hasRelatedWork W3124634979 @default.
- W3043454505 hasRelatedWork W3125784162 @default.
- W3043454505 hasRelatedWork W3195863596 @default.
- W3043454505 hasRelatedWork W4229368883 @default.
- W3043454505 hasRelatedWork W4315628995 @default.
- W3043454505 hasRelatedWork W4317437046 @default.
- W3043454505 hasRelatedWork W3092333354 @default.
- W3043454505 isParatext "false" @default.
- W3043454505 isRetracted "false" @default.
- W3043454505 magId "3043454505" @default.
- W3043454505 workType "book-chapter" @default.