Does net buying pressure affect the shape of implied volatility functions ?

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Does net buying pressure affect the shape of implied volatility functions ?

Bollen, Nicolas P.B - ; Whaley, Robert E - ;

This paper examines the relation between net buying pressure and the shape of the implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S & P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demend..Printed Journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	The American Finance Association.,
Edisi	-
Subjek	-
ISBN/ISSN	00221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data