Jackwerth, Jens Carsten; Constantinaides, George M.; … - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2005
incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility … smile that the problem lies with the left-hand tail of the index return distribution. Even though pre-crash option prices …