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Why do we smile? on the determinants of the implied volatility function

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorRubio, Gonzalo
dc.contributor.authorSerna, Gregorio
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-02-25T10:45:57Z
dc.date.available2010-02-25T10:45:57Z
dc.date.issued1997-11
dc.description.abstractWe report simple regressions and rather sophisticated linear and nonlinear Granger causality test in order to understand the pattem of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish ffiEX-35 index from January 1994 to Apri1 l996. Transaction costs, proxied by the bid-ask spread, seem to be a key determinant of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/7023
dc.language.isoeng
dc.relation.hasversionhttp://e-archivo.uc3m.es/handle/10016/7085
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries97-86-16
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.titleWhy do we smile? on the determinants of the implied volatility function
dc.typeworking paper*
dspace.entity.typePublication
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