We are grateful to Abhisar Srivastava, Tirthankar Patnaik, and the National Stock Exchange of India Ltd. for the data used in this study. We thank Nidhi Aggarwal, Ajay Shah, Rajat Tayal, and the participants of the IGIDR Finance Research Seminars for useful discussions. We also thank our discussant Prof. Moon, Seong Ju, and participants of the 7th Annual APAD Conference for useful suggestions. The views expressed in this study belong to the authors and not their employer.
Liquidity Considerations in Estimating Implied Volatility
Article first published online: 10 FEB 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 8, pages 714–741, August 2012
How to Cite
Grover, R. and Thomas, S. (2012), Liquidity Considerations in Estimating Implied Volatility. J. Fut. Mark., 32: 714–741. doi: 10.1002/fut.21543
- Issue published online: 1 JUN 2012
- Article first published online: 10 FEB 2012
- Manuscript Accepted: 3 NOV 2011
- Manuscript Received: 31 OCT 2011
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