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Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis


  • J. Larkin
  • A. Brooksby
  • C. T. Lin
  • R. Zurbruegg


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Suggested Citation

  • J. Larkin & A. Brooksby & C. T. Lin & R. Zurbruegg, 2012. "Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 47-69, March.
  • Handle: RePEc:bla:acctfi:v:52:y:2012:i:1:p:47-69 DOI: j.1467-629X.2011.00419.x

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    References listed on IDEAS

    1. Gary Gorton, 2009. "The Subprime Panic," European Financial Management, European Financial Management Association, vol. 15(1), pages 10-46.
    2. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Alan Greenspan, 2010. "The Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(1 (Spring), pages 201-261.
    4. repec:fip:fedhpr:y:2010:i:may:p:14-22 is not listed on IDEAS
    5. da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Alan Greenspan, 2010. "The financial crisis and credit markets," Proceedings 1135, Federal Reserve Bank of Chicago.
    7. Oecd, 2010. "Labour markets and the crisis," OECD Economics Department Working Papers 756, OECD Publishing.
    8. Potter, 2010. "Some observations and lessons from the crisis," Speech 25, Federal Reserve Bank of New York.
    9. Allen Schick, 2010. "Crisis Budgeting," OECD Journal on Budgeting, OECD Publishing, vol. 9(3), pages 1-14.
    10. Alan Greenspan, 2010. "La crisis," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 15-60, January-J.
    11. Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
    12. Babatunde B.O. & Ajayi S.O., 2010. "Food crisis and population growth in Nigeria," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 11(1), pages 180-187, May.
    13. Franklin Allen & Elena Carletti, 2010. "An Overview of the Crisis: Causes, Consequences, and Solutions-super-," International Review of Finance, International Review of Finance Ltd., vol. 10(s1), pages 1-26.
    14. Gorton, Gary B., 2010. "Slapped by the Invisible Hand: The Panic of 2007," OUP Catalogue, Oxford University Press, number 9780199734153, June.
    15. María-de-los-Ángeles Gil-Estallo & Fernando Giner-de-la- Fuente & Carles Gríful-Miquela & Yolanda-María Sánchez-Jiménez, 2010. "New Competences for Crisis Times," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(2), pages 190-202, May.
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