pricing models of (Merton and Bates) with the benchmark Black–Scholes (BS) model relative to market, for pricing Nifty index … options of India. The specific period chosen for this study canvasses the extreme up and down limits (jumps) of the Indian … implied volatility. Findings – The outcomes of the paper reveal that the jump-diffusion models are a better substitute of …

implied volatility and moneyness referred to as volatility smile and (2) the potential determinants of the smile asymmetry. We … 2004 and 2005. We find that the volatility functions exhibit a positive slope in the Indian context using alternative … investors' behaviour and market microstructure between mature and emerging markets. We also show that historical volatility and …