Filis, George - In: Journal of Emerging Market Finance 8 (2009) 3, pp. 251-263
In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We … examine the differences between realised volatility and implied volatility of call and put options for at-the-money index … of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This …