✦ LIBER ✦

Smiling less at LIFFE

✍ Scribed by Bing-Huei Lin; Ing-Jye Chang; Dean A. Paxson

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 515 KB
Volume: 28
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20276

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer‐term options. The implied volatility skew can be described by risk‐neutral skewness and kurtosis, with the former having the first‐order effect. Moreover, the implied volatility skew for individual stock options is less severe than for index options. Finally, the relationship between the real and risk‐neutral moments implied in option prices is significant. The results indicate that, for equity options traded on the LIFFE, the slope of the implied volatility skew is flatter than that on the Chicago Board of Exchange (CBOE). © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:57–81, 2008

📜 SIMILAR VOLUMES

The Meaning of Liff

✍ Adams, Douglas;Lloyd, John 📂 Fiction 📅 1983 🏛 Pan 🌐 English ⚖ 37 KB 👁 1 views

In life and, indeed, in liff, there are many hundreds of common experiences, feelings, situations and even objects which we all know and recognize, but for which no words exist. This text uses place names to describe some of these meanings. ES Index : 1 Has Cover : Yes Number of Words in Aut

The Meaning of Liff

✍ Douglas Adams; John Llloyd 📂 Fiction 📅 1983 🏛 Pan 🌐 English ⚖ 36 KB 👁 2 views

The Meaning of Liff

✍ Douglas Adams; John Lloyd 📂 Fiction 📅 2010;1993 🏛 Faber & Faber, Pan Books 🌐 UND ⚖ 37 KB 👁 3 views

EDITORIAL REVIEW: In life and, indeed, in liff, there are many hundreds of common experiences, feelings, situations and even objects which we all know and recognize, but for which no words exist. This text uses place names to describe some of these meanings.

The Smiling Man

✍ Joseph Knox 📂 Fiction 📅 2019 🏛 Crown/Archetype 🌐 en-US ⚖ 219 KB 👁 1 views

**From the acclaimed author of _Sirens_ , damaged Detective Aidan Waits returns in a mind-bending new thriller that will have everyone asking "Who is the Smiling Man?" **Aidan Waits is back on the night shift, the Manchester PD dumping ground for those too screwed-up for more glamorous work. But t

The Smiling Reaper

✍ Lindsay, Steven 📂 Fiction 📅 2020 🌐 English ⚖ 141 KB

The Smiling Tiger

✍ Offord, Lenore Glen 📂 Fiction 📅 2016 🏛 Felony & Mayhem Press 🌐 English ⚖ 137 KB

This is Lenore Glen Offord's third mystery set in Northern California and featuring the amateur sleuthing team of Georgine and Todd McKinnon. It's 1949, and with the War well and truly in the past, Americans are relaxing into the warm bath of suburbia. Even groovy Northern California, even sharp-eye