Why do we smile?: On the determinants of the implied volatility function

被引:94
|
作者
Peña, I
Rubio, G
Serna, G
机构
[1] Univ Basque Country, Dept Fundamentos Anal Econ, Fac Ciencias Econ & Empresariales, Bilbao 48015, Spain
[2] Univ Carlos III Madrid, Dept Econ Empresa, Fac Ciencias Econ & Empresariales, Madrid 28903, Spain
关键词
smiles; bid-ask spread; volatility; causality;
D O I
10.1016/S0378-4266(98)00134-4
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid-ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:1151 / 1179
页数:29
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