Browsing by Subject "Volatility smile"

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    • Indian equity options: smile, risk premiums, and efficiency 

      Jain, Sonali; Varma, Jayanth R.; Agarwalla, Sobhesh Kumar (John Wiley & Sons, 2018-09-15)
      We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile‐adjusted Black model fits option prices well, and ...

    • 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 ...