volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …

determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value …

suffers from many limitations, it is still widely used to derive the implied volatility of options. This is particularly …