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Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
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The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
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Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249
Persistent link: https://www.econbiz.de/10012817879