Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement … and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application …-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility …

from the Chicago board options exchange, CBOE, derivative market. We show the existence of the implied volatility smile of … the S&P stock index options by comparing historical in relation to implied volatility. There is significant time variation … in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. A possible …