Shapes of Implied Volatility with Positive Mass at Zero.
Stefano De MarcoCaroline HillairetAntoine JacquierPublished in: SIAM J. Financial Math. (2017)
Keyphrases
- positive and negative
- shape analysis
- stock market
- shape matching
- shape model
- shape recognition
- stock price
- financial markets
- size functions
- financial crisis
- stock index futures
- data sets
- chinese stock market
- stock trading
- garch model
- geometric shapes
- shape classification
- polygonal approximation
- financial time series
- shape description
- exchange rate
- fourier descriptors
- shape representation
- medical images