Sehgal, Sanjay; Vijayakumar, N. - In: Asian Academy of Management Journal of Accounting and … 4 (2008) 1, pp. 45-69
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...
