This paper exploits the fact that implied volatilities calculated from identical call and put options have often been … functions show that the IV derived from put options recovers faster from shocks, and the effect of shocks lasts for up to six …

This paper studies how options trading, by circumventing constraints on borrowing, permits optimistic investors to hold …. We show that aggregate demand for the stock is what prevails when options do not exist and no constraints hold …

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

the implied volatility skew and term structure puzzles in equity index options but is also consistent with the observed …

implied volatility derived from call and put options on the USD/EUR exchange rate. The daily first difference of the USD …

which the authors studied conditions for a family of European call options, varying the maturing time and the strike price …