Publication: Why do we smile? on the determinants of the implied volatility function
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Peña, Juan Ignacio | |
dc.contributor.author | Rubio, Gonzalo | |
dc.contributor.author | Serna, Gregorio | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de Economía de la Empresa | |
dc.date.accessioned | 2010-02-25T10:45:57Z | |
dc.date.available | 2010-02-25T10:45:57Z | |
dc.date.issued | 1997-11 | |
dc.description.abstract | We 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.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/7023 | |
dc.language.iso | eng | |
dc.relation.hasversion | http://e-archivo.uc3m.es/handle/10016/7085 | |
dc.relation.ispartofseries | UC3M Working papers. Business Economics | |
dc.relation.ispartofseries | 97-86-16 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Empresa | |
dc.title | Why do we smile? on the determinants of the implied volatility function | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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