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Keywords: Black–Scholes–Merton
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Journal Articles
Who predicts dollar-rupee volatility better? A tale of two options markets
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2019) 45 (9): 1292–1308.
Published: 05 September 2019
... whether the model-free measure of implied volatility outperforms the traditional measure derived from the Black–Scholes–Merton model. Design/methodology/approach The information content of exchange-traded implied volatility and that of quoted implied volatility for OTC options is compared...
