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Keywords: Time-to-expiration
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Journal Articles
Stylized patterns of implied volatility in India: a case study of NSE Nifty options
Available to Purchase
Journal:
Journal of Indian Business Research
Journal of Indian Business Research (2014) 6 (3): 231–254.
Published: 12 August 2014
... across strike price, time-to-expiration and moneyness violates the core assumption of the Black–Scholes option pricing model. Design/methodology/approach – The potential determinants of implied volatility are the degree of moneyness, time-to-expiration and the liquidity of the strikes...
