Boyle, Phelim P.; Byoun, Soku; Park, Hun Y. - In: Research in finance : Vol. 19, (pp. 269-284). 2002
We show that if a lead-lag relation exists between the option and spot markets, the implied volatility in option prices can be biased depending on the level of the true volatility; that is, the higher the true volatility, the more upward biased the implied volatility will be. We then test the...
