Nigam, Narander Kumar; Pandey, Piyush - In: Journal of Advances in Management Research 13 (2016) 3, pp. 271-291
Purpose The purpose of this paper is to understand the patterns of the implied volatility (IV) of the Indian index option market and its relationship with moneyness (called the volatility smile). Its goal is also to ascertain the determinants of IV. Design/methodology/approach For this purpose,...