Shaikh, Imlak; Padhi, Puja - In: Journal of Indian Business Research 6 (2014) 3, pp. 231-254
Purpose – The aim of this study is to examine the “volatility smile” or/and “skew”, term structure and implied volatility surfaces based on those European options written in the standard and poor (S&P) Nifty equity index. The stochastic nature of implied volatility across strike price,...