Determinants of Implied Volatility Function on the Nifty Index Options Market: Evidence from India
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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.
- Narain & Narander Kumar Nigam & Piyush Pandey, 2016. "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 13(3), pages 271-291, November.
- Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
- Itkin, Andrey, 2015.
"To sigmoid-based functional description of the volatility smile,"
The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
- Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
- Li, Pengshi & Xian, Aichuan & Lin, Yan, 2021. "What determines volatility smile in China?," Economic Modelling, Elsevier, vol. 96(C), pages 326-335.
- Mihir Dash, 2019. "Modeling of implied volatility surfaces of nifty index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-11, September.
- Sanjay Sehgal & Vidisha Garg & Florent Deisting, 2012. "Relationship between cross sectional volatility and stock returns: Evidence From India," Post-Print hal-01881918, HAL.
- Sanjay Sehgal & Vidisha Garg, 2016. "Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets," Vikalpa: The Journal for Decision Makers, , vol. 41(3), pages 234-246, September.
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Keywords
volatility; moneyness; smile; asymmetry; causality;All these keywords.
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