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An examination of forward volatility.
| Content Provider | CiteSeerX |
|---|---|
| Author | Ingalls, R. G. Rossetti, M. D. Smith, J. S. Peters, B. A. Popovic, Ray Goldsman, David |
| Abstract | This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities. As a general proposition we are interested in discovering possible features and rules-of-thumb for the applicability of p.c. techniques. In particular, what accuracy does one lose in valuation-hedging schemes as the dimensionality of the p.c. space is reduced? We also have an interest in validating the posted “stylized ” facts of implied volatility as they apply to our data sets. |
| File Format | |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
