Tanha, Hassan; Dempsey, Michael; Hallahan, Terrence - In: Review of Behavioral Finance 6 (2014) September, pp. 46-62
Purpose –The purpose of this paper is to understand that option pricing is the response of option implied volatility (IV) to macroeconomic announcements. Design/methodology/approach –The authors use high-frequency data on ASX SPI 200 index options to examine the response of option IV, as...
