nature of implied volatility across strike price, time-to-expiration and moneyness violates the core assumption of the Black … moneyness, time-to-expiration and the liquidity of the strikes. The empirical work has been expressed by means of a simple … ordinary least squares (OLS) framework and presents the estimation results according to moneyness, time-to-expiration and …

effects, but providing information on time‐to‐expiration (if it is relatively long) can negate the effects. Both perceived …