Fukuta, Yuichi; Ma, Wenjie - In: Applied Financial Economics 23 (2013) 9, pp. 789-804
This article analyses volatility smiles in the Nikkei 225 options by taking the Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects on smiles and the asymmetry of option values with respect to option bid--ask spreads into account. Our empirical results show the evidence for...