Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets
نویسندگان
چکیده
منابع مشابه
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چکیده ندارد.
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
The Black–Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options professionals refer to this well-known phenomenon as a volatility ‘skew’ or ‘smile’. In this paper, we examine an extension of the Black–Scholes model developed by Corrado and Su‡ that s...
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ژورنال
عنوان ژورنال: Asian Economic and Financial Review
سال: 2017
ISSN: 2305-2147,2222-6737
DOI: 10.18488/journal.aefr/2017.7.1/102.1.52.62