Financial market disruption and investor awareness: the case of implied volatility skew

Financial market disruption and investor awareness: the case of implied volatility skew

The crash of 1987 is considered one of the most significant events in the history of financial markets due to the severity and swiftness of market declines worldwide. In the aftermath of the crash, a permanent change in options market occurred; implied volatility skew started appearing in options ma...

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Bibliographic Details
Main Author: Hammad Siddiqi
Format: Article
Language:English
Published: AIMS Press 2022-08-01
Series:Quantitative Finance and Economics
Subjects:
partial awareness
restricted awareness
black scholes model
analogy making
generalized principle of no-arbitrage
implied volatility skew
implied volatility smile
portfolio insurance delta-hedge
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2022021?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2022021?viewType=HTML

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