Abstract
If James Taylor had been an options trader, he might well have not written that second line. Options "smile" at traders, but that smile is not a source of happiness. It is in fact a source of considerable confusion and misunderstanding. In this paper, we explore how this confusion manifests in the pattern of different implied volatilities for different options on the same stock, a pattern commonly known as the volatility smile.
Recommended Citation
Jain, Neha; Sharma, Neha; Agarwal, Reenu; Akhtar, Salim; and Lalchandani, Sonia
(2006)
"The Study on the Presence of Volatility Smile in NSE Indices,"
Management Dynamics: Vol. 6:
No.
2, Article 1: 1-12
DOI: https://doi.org/10.57198/2583-4932.1205
Available at:
https://managementdynamics.researchcommons.org/journal/vol6/iss2/1
