Die Preise, zu denen Aktienindexoptionen an den internationalen Terminbörsen gehandelt werden, weichen in der Regel systematisch von den Implikationen des von Black, Scholes und Merton entwickelten Standartmodells der Optionsbewertung ab. Zur Erklärung dieses als "Smile-Effekt" bekannten...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX...

The implied volatilities provided by OptionMetrics in the IvyDB database suggest substantial deviations from put-call parity that do not really exist. In S&P 500 options, artificial deviations occur because OptionMetrics uses non-synchronous index and option prices and an average implied...