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Keywords by Keing Ruekpisut is a document available to read on EtoBox.
This independent study investigates the determinants of implied volatility smile in Derivatives Warrants traded on the Stock Exchange of Thailand. It identifies seven explanatory variables, with the number of issuers and individual issuers significantly affecting the volatility slope of both call and put warrants. The research concludes that a low number of issuers and pricing strategies of individual issuers contribute to the observed smile shape in implied volatility.
- Author
- Keing Ruekpisut
- Language
- EN