In pricing Options, among other measures, implied volatility is the critical variable. The present study has tried to compute implied volatility through Newton Raphson technique. The relationship of implied volatility against different exercise prices, often results into a phenomenon, popularly...

In this paper, we examine two important propositions for the Indian options market: (1) the relationship between implied volatility and moneyness referred to as volatility smile and (2) the potential determinants of the smile asymmetry. We use daily data for the S&P CNX Nifty index call and put...