Bhuiyan, Tanvir; Hoque, Ariful; Le, Thi - In: Journal of open innovation : technology, market, and … 9 (2023) 4, pp. 1-12
This study analyses the presence of implied volatility smirk (IVS) and its predictability of the US stock market crash … options (OTMP) and at-the-money call options (ATMC) due to out-of-the-money put options implied volatility (OTMPIV) is higher … than at-the-money call options implied volatility (ATMCIV) for all 18 cases (cases 1-18), confirming the development of IVS …