Predictability and predictors of volatility smirk: a study on index options
The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the anomaly. The daily volatility smirk is computedfor...
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| Auteurs principaux: | , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Vilnius Gediminas Technical University
2017-05-01
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| Collection: | Business: Theory and Practice |
| Sujets: | |
| Accès en ligne: | https://journals.vgtu.lt/index.php/BTP/article/view/8156 |
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