Boyle, Phelim P.; Byoun, Seokgu; Park, Hun Y.(Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-09)
We show that if a particular temporal relation exists between the option and spot
markets, the implied volatility in option prices can be biased depending on the level of the true
volatility. The higher the true volatility, ...