Behaviour and determinants of implied volatility in Indian market
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DOI: 10.1108/JAMR-09-2015-0062
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Cited by:
- Sonali Jain & Jayanth R. Varma & Sobhesh Kumar Agarwalla, 2019. "Indian equity options: Smile, risk premiums, and efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 150-163, February.
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More about this item
Keywords
Implied volatility; Index options; Moneyness; Smile asymmetry; Vector autoregressions; G10; G12; G13;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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