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Keywords: Smile asymmetry
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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
... (the longest span of data for any international study on this subject) to confirm the existence of the volatility smile for the index options market in India. It examines and confirms the smile’s asymmetry patterns for different definitions of moneyness, as well as option types, the tenure of options contracts...
