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Keywords: G13
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Journal Articles
Behaviour and determinants of implied volatility in Indian market
Available to Purchase
Journal of Advances in Management Research (2016) 13 (3): 271–291.
Published: 07 November 2016
... Index options Moneyness Smile asymmetry Vector autoregressions G10 G12 G13 It is widely known that the implied volatility (IV) derived from the options contracts on stock market indices using the Black-Scholes-Merton (BSM) option pricing formula is not accurate enough to reflect...
