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Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options

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  • Chan, Kam C.
  • Cheng, Louis T. W.
  • Lung, Peter P.

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  • Chan, Kam C. & Cheng, Louis T. W. & Lung, Peter P., 2003. "Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 527-553, September.
  • Handle: RePEc:eee:pacfin:v:11:y:2003:i:4:p:527-553
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    Cited by:

    1. Tafadzwa Mugwagwa & Vikash Ramiah & Imad Moosa, 2015. "The Profitability of Option-Based Contrarian Strategies: An Empirical Analysis," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 1-26, March.

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