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Title: IMPLIED VOLATILITY SMILE PATTERNS: EVIDENCE FROM NIFTY 50 INDEX OPTIONS
Authors: Dr. V. Srividya, Ms. D. Susana
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Dr. V. Srividya, Ms. D. Susana PSG Institute of Management, PSG College of Technology, Coimbatore- 641004
MLA 8 Srividya, Dr. V., and Ms. D. Susana. "IMPLIED VOLATILITY SMILE PATTERNS: EVIDENCE FROM NIFTY 50 INDEX OPTIONS." Int. j. of Social Science and Economic Research, vol. 3, no. 12, Dec. 2018, pp. 6851-6882, ijsser.org/more2018.php?id=483. Accessed Dec. 2018. APA Srividya, D., & Susana, M. (2018, December). IMPLIED VOLATILITY SMILE PATTERNS: EVIDENCE FROM NIFTY 50 INDEX OPTIONS. Int. j. of Social Science and Economic Research, 3(12), 6851-6882. Retrieved from ijsser.org/more2018.php?id=483 Chicago Srividya, Dr. V., and Ms. D. Susana. "IMPLIED VOLATILITY SMILE PATTERNS: EVIDENCE FROM NIFTY 50 INDEX OPTIONS." Int. j. of Social Science and Economic Research 3, no. 12 (December 2018), 6851-6882. Accessed December, 2018. ijsser.org/more2018.php?id=483.
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Abstract: Volatility in financial markets has garnered the attention of researchers, practitioners, academicians and policy regulators. The reason for this widespread interest in stock market volatility can be attributed to the fact that changes in market volatility can have important effect on capital investment, consumption and other business cyclic variables (Schwert, 1989). Volatility serves as an indicator for the vulnerability of financial markets and the economy. Hence policy makers often rely on market estimates of volatility for policy framework. (Poon and Granger, 2003). In stock markets traders, investors and portfolio managers are apprehensive about the aberrant volatility in assets prices and expect for certainty in prices in order to anticipate future price movements before making investment decisions to realize possible gains. Volatility over a future period can be considered as risk and hence estimation of volatility is needed as a measure at present times (Engle, 2004). In order to express uncertainty in an economically meaningful way, the conventional mode of interpretation of uncertainty is in terms of volatility or the variance in historical returns of the assets (Koutmos, 2011).

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