LAUSR

Indian equity options: Smile, risk premiums, and efficiency

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0 Published in 2018 at "Journal of Futures Markets"

DOI: 10.1002/fut.21971

Abstract: We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile‐adjusted Black model fits option prices well, and… read more here.

Keywords: equity; risk; indian equity; equity options ... See more keywords

Pricing volatility-equity options under the modified constant elasticity of variance model

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0 Published in 2020 at "Finance Research Letters"

DOI: 10.1016/j.frl.2020.101493

Abstract: Abstract This paper studies volatility-equity options such as the target volatility options and the double digital call under the modified constant elasticity of variance model. Adopting the benchmark approach, we derive the analytical pricing formulae… read more here.

Keywords: elasticity variance; volatility; equity options; constant elasticity ... See more keywords