Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …

referendum date. Extracting implied distributions from the GBPUSD option volatility surface, we originally estimated, based on …