Whose sentiment explains implied volatility change and smile?
Author:
Funder
National Research Foundation of Korea
Korea Ministry of Science and ICT
Ministry of Science, ICT and Future Planning
Publisher
Elsevier BV
Subject
Finance
Reference21 articles.
1. Informed trading in the index option market: the case of KOSPI 200 options;Ahn;J. Futures Mark.,2008
2. Trading imbalances, predictable reversals, and cross-stock price pressure;Andrade;J. Financ. Econ.,2008
3. Signal or noise? Uncertainty and learning about whether other traders are informed;Banerjee;J. Financ. Econ.,2015
4. Does net buying pressure affect the shape of implied volatility functions?;Bollen;J. Finance,2004
5. Does the world smile together? A network analysis of global index option implied volatilities;Chen;J. Int. Financ. Mark., Inst. Money,2022
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