Effect of Liquidity on the Implied Volatility Surface in Interest Rate Options Markets
The volatility implied in the option price exhibits the systematic bias with respect to different levels of exercise prices for different maturities, and this anomaly has been arousing the attentions of many financial economists. This paper investigates the bias of volatility surface implied in opti...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
2017-09-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20171012213240-7YVJ8.pdf |