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Keywords: Net demand pressure
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Journal Articles
The shape of option implied volatility: a study based on market net demand pressure
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2012) 2 (1): 27–52.
Published: 27 January 2012
... that, under unhedgeable risk, net demand pressure has a significant impact on implied volatility. Especially, unhedgeable risk due to underlying asset's stochastic volatility has the best explanation for implied volatility level, and unhedgeable risk due to underlying asset's jump can explain implied...
