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Keywords: Volatility spread
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (1): 59–90.
Published: 28 February 2011
...Sol Kim; Geul Lee This article examines the information contents in the implied volatility spread between the KOSPI200 at-the-money puts and calls with the same strike price and maturity. Using 1-minute KOSPI200 index and options data, our study shows that the volatility spread leads KOSPI200 index...
