Characteristics Of Implied Volatility In The S&P100 Options With European-Style Exercise
Abstract
While the topic of volatility has been much further developed in the last three decades, I will try to revise the implied volatility and its characteristics based on the ten day data of Standard and Poor’s 100 index European-style options (XEO). Having calculated the implied volatility of the collected options, further analyses are to study the impact of two important factors of time to maturity and moneyness on the value of implied volatility.
Keywords
Implied volatility, options moneyness, time to maturity, European-Style Options
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PDFDOI: http://dx.doi.org/10.21533/scjournal.v4i1.84
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Copyright (c) 2015 Sadi Fadda
ISSN 2233 -1859
Digital Object Identifier DOI: 10.21533/scjournal
This work is licensed under a Creative Commons Attribution 4.0 International License