Browsing by Subject "Volatility skew"

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    • Lottery and bubble stocks and the cross-section of option-implied tail risks 

      Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth R. (Wiley-Blackwell, 2021-09-15)
      The options smile provides forwardlooking information about the risk at thecenter of the distribution (ATMIV) and at the tails (Skew). We investigate thecrosssectional determinants of the options smile using indices ...