Shaikh, Imlak; Padhi, Puja - In: Journal of Indian Business Research 6 (2014) 3, pp. 231-254
nature of implied volatility across strike price, time-to-expiration and moneyness violates the core assumption of the Black …–Scholes option pricing model. Design/methodology/approach – The potential determinants of implied volatility are the degree of … also implied volatility remain higher for the shorter maturity options and decrease as the time-to-expiration increases …