The impact of COVID-19 on tail risk: Evidence from Nifty index options
SK Agarwalla, JR Varma, V Virmani - Economics Letters, 2021 - Elsevier
We investigate the impact of COVID-19 using multiple forward-looking measures of
uncertainty in Indian stock markets using liquid Nifty index options. The WHO declaration of …
uncertainty in Indian stock markets using liquid Nifty index options. The WHO declaration of …
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market
SK Agarwalla, JR Varma… - Journal of Futures Markets, 2021 - Wiley Online Library
Could the COVID‐19 related market crash and subsequent rebound be explained as a
rational response to evolving conditions? Our results using multiple forward‐looking …
rational response to evolving conditions? Our results using multiple forward‐looking …
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
S Kumar, SK Agarwalla, JR Varma… - Journal of Futures …, 2023 - Wiley Online Library
While there is a large literature on modeling volatility smile in options markets, most such
studies are eventually focused on the forecasting performance of the model parameters and …
studies are eventually focused on the forecasting performance of the model parameters and …
[PDF][PDF] Pricing European Options Using Burr-XII Distribution: Simulations and Risk Neutral Density
The precise calculation of risk-neutral probability density plays a pivotal role in modeling
and forecasting European put and call options, holding significant importance. The Burr-XII …
and forecasting European put and call options, holding significant importance. The Burr-XII …