An empirical study on the characterization of implied volatility and pricing in the Chinese option market
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DOI: 10.1016/j.frl.2022.103160
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References listed on IDEAS
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Cited by:
- Vijay Kumar Sharma & Satinder Bhatia & Hiranmoy Roy, 2023. "Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market," JRFM, MDPI, vol. 16(11), pages 1-14, November.
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More about this item
Keywords
SSE 50ETF options; Implied volatility surface; Volatility characterization; Pricing error;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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