It is well-known that the market prices of options produce implied volatilities that inexplicably vary by exercise price in a pattern often referred to as the volatility smile. This paper shows that not only do market prices produce volatility smiles, but so do model prices. This result occurs...

In this paper, we analyze the return-volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted. The cross sectional return-volatility relations are analyzed at weekly frequency and...

Bitcoin has gotten significant interest throughout the world, in not just investors and the financial community, but also among the general public. Over the past few years, the price of Bitcoin has risen and fallen dramatically. Because of the dramatic price increases, many articles in the...