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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