---
title: Volatility Smile Harvesting: Dynamic Nelson-Siegel Approach
url: https://www.ml-quant.com/papers/repec/wly-jfutmk-v-43-y-2023-i-11-p-1615-1644/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22450%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A43%3Ay%3A2023%3Ai%3A11%3Ap%3A1615-1644
featured: 2023-10-12
citations: unknown
topic: Derivatives & Volatility
---


# Volatility Smile Harvesting: Dynamic Nelson-Siegel Approach

Dynamic Nelson-Siegel Approach: The research assesses the Dynamic Nelson–Siegel approach to modeling volatility smile, demonstrating its superior performance over static models in mean returns and Sharpe ratio.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22450%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A43%3Ay%3A2023%3Ai%3A11%3Ap%3A1615-1644
- Identifier: RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644
- Released: 2023-10-12
- First featured: Quant Letter No. 20 (2023-10-12): https://www.ml-quant.com/issues/2023-10-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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