THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011
This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish index ha...
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2015-01-01
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| Series: | Investigaciones Europeas de Dirección y Economía de la Empresa |
| Subjects: | |
| Online Access: |
http://www.elsevier.es/es-revista-investigaciones-europeas-direccion-economia-empresa-345-resumen-clasificacion-las-sonrisas-volatilidad-segun-90372437
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