{"id":"https://openalex.org/W2013262954","doi":"https://doi.org/10.2139/ssrn.1472002","title":"Option Happiness and Liquidity: Is the Dynamics of the Volatility Smirk Affected by Relative Option Liquidity?","display_name":"Option Happiness and Liquidity: Is the Dynamics of the Volatility Smirk Affected by Relative Option Liquidity?","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W2013262954","doi":"https://doi.org/10.2139/ssrn.1472002","mag":"2013262954"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20507","doi":"https://doi.org/10.1002/fut.20507","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20507","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1472002","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103259459","display_name":"Lars L. Nord\u00e9n","orcid":"https://orcid.org/0000-0003-1216-1381","observed_orcids":["https://orcid.org/0000-0003-1216-1381"]},"institutions":[{"id":"https://openalex.org/I161593684","display_name":"Stockholm University","ror":"https://ror.org/05f0yaq80","country_code":"SE","type":"education","lineage":["https://openalex.org/I161593684"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Lars Nord\u00e9n","raw_affiliation_strings":["Stockholm University, School of Business, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stockholm University, School of Business, Sweden","institution_ids":["https://openalex.org/I161593684"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053071623","display_name":"Caihong Xu","orcid":"https://orcid.org/0000-0001-9303-0353","observed_orcids":["https://orcid.org/0000-0001-9303-0353"]},"institutions":[{"id":"https://openalex.org/I161593684","display_name":"Stockholm University","ror":"https://ror.org/05f0yaq80","country_code":"SE","type":"education","lineage":["https://openalex.org/I161593684"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Caihong Xu","raw_affiliation_strings":["A Ph.D. Candidate, Stockholm University School of Business, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"A Ph.D. Candidate, Stockholm University School of Business, Sweden","institution_ids":["https://openalex.org/I161593684"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5103259459"],"corresponding_institution_ids":["https://openalex.org/I161593684"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":0.5019,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.78796609,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"32","issue":"1","first_page":"47","last_page":"74"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7728999853134155,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7728999853134155,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.1031000018119812,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.09690000116825104,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/index-options","display_name":"index options","score":0.6190000176429749},{"id":"https://openalex.org/keywords/moneyness","display_name":"moneyness","score":0.8220000267028809},{"id":"https://openalex.org/keywords/bid-ask-spread","display_name":"bid-ask spread","score":0.8769999742507935},{"id":"https://openalex.org/keywords/maturity-effect","display_name":"maturity effect","score":0.7289999723434448}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.8250656127929688},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.7642021775245667},{"id":"https://openalex.org/C2778999518","wikidata":"https://www.wikidata.org/wiki/Q8","display_name":"Happiness","level":2,"score":0.7344921827316284},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6452329754829407},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5347503423690796},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4223257005214691},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39645901322364807},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.31088417768478394},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.08594319224357605},{"id":"https://openalex.org/C77805123","wikidata":"https://www.wikidata.org/wiki/Q161272","display_name":"Social psychology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/fut.20507","doi":"https://doi.org/10.1002/fut.20507","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20507","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1472002","doi":"https://doi.org/10.2139/ssrn.1472002","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1472002","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.850.4845","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.850.4845","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.apjfs.org/conference/2009/cafm2009/05_01_Option%20Happiness.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1472002","doi":"https://doi.org/10.2139/ssrn.1472002","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1472002","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":60,"referenced_works":["https://openalex.org/W178321035","https://openalex.org/W1511405554","https://openalex.org/W1576326745","https://openalex.org/W1606342119","https://openalex.org/W1979986072","https://openalex.org/W1985808284","https://openalex.org/W1992729745","https://openalex.org/W1993419582","https://openalex.org/W2009449445","https://openalex.org/W2020550357","https://openalex.org/W2025268472","https://openalex.org/W2032712062","https://openalex.org/W2034241492","https://openalex.org/W2045144032","https://openalex.org/W2046519558","https://openalex.org/W2050031929","https://openalex.org/W2050067494","https://openalex.org/W2064638174","https://openalex.org/W2076756274","https://openalex.org/W2077791698","https://openalex.org/W2086666793","https://openalex.org/W2099475915","https://openalex.org/W2103679355","https://openalex.org/W2106154424","https://openalex.org/W2108818539","https://openalex.org/W2116455234","https://openalex.org/W2117178635","https://openalex.org/W2125531201","https://openalex.org/W2129220488","https://openalex.org/W2130687778","https://openalex.org/W2135190204","https://openalex.org/W2144010262","https://openalex.org/W2146848558","https://openalex.org/W2155844741","https://openalex.org/W2156361014","https://openalex.org/W2158829113","https://openalex.org/W2163238206","https://openalex.org/W2890453835","https://openalex.org/W3021190191","https://openalex.org/W3021890151","https://openalex.org/W3023906401","https://openalex.org/W3121401171","https://openalex.org/W3121427646","https://openalex.org/W3121453935","https://openalex.org/W3121459779","https://openalex.org/W3122647810","https://openalex.org/W3122812247","https://openalex.org/W3123326583","https://openalex.org/W3123358808","https://openalex.org/W3124288312","https://openalex.org/W3125064893","https://openalex.org/W3125066342","https://openalex.org/W3125311522","https://openalex.org/W3125364865","https://openalex.org/W3125868023","https://openalex.org/W4205895687","https://openalex.org/W4206220145","https://openalex.org/W4254020904","https://openalex.org/W4299589498","https://openalex.org/W7065746636"],"related_works":["https://openalex.org/W2056040356","https://openalex.org/W4182795","https://openalex.org/W1997628837","https://openalex.org/W2800267508","https://openalex.org/W7126002007","https://openalex.org/W1961185360","https://openalex.org/W3125064893","https://openalex.org/W2016800800","https://openalex.org/W2081248736","https://openalex.org/W7099145724"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-08T12:12:28.789561","created_date":"2016-06-24T00:00:00"}