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Do futures and options trading increase spot market volatility in India? : the case of S&P CNX Nifty

Srinivasan, Palamalai - In: International journal of business performance and … 2 (2010) 2, pp. 134-145

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Impacts of derivative markets on spot market volatility and their persistence

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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394

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Is implied volatility forward looking? : evidence from India

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Tackling investment risks using equity options during extreme economic upheavals : Indian evidence

Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28

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Modeling electricity spot prices : combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … ; Energy markets ; Lévy processes ; Mean-reversion ; Spikes ; Stochastic volatility ; GARCH …

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Application of ARCH and GARCH Models to Test the Implied Volatility of a 3 – Month Nordea Bank Call Option Contract

Guirguis, Michel - 2019

implied volatility of a 3 – month Nordea bank call option contract returns, for changing conditional variances to spot any …

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The information content of option-based forecasts of volatility : evidence from the Italian stock market

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Skewed generalized error distribution of financial assets and option pricing

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Pricing efficiency in CNX Nifty Index options using the Black-Scholes model : a comparative study of alternate volatility measures

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