Articles with "low liquidity" as a keyword



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Variance Premium and Implied Volatility in a Low-Liquidity Option Market

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Published in 2017 at "Revista Brasileira De Economia"

DOI: 10.5935/0034-7140.20170001

Abstract: We propose an implied volatility index for Brazil that we name "IVol-BR". The index is based on daily market prices of options over IBOVESPA -- an option market with relatively low liquidity and few option… read more here.

Keywords: volatility; low liquidity; variance premium; option ... See more keywords