{"id":"https://openalex.org/W3124375158","doi":"https://doi.org/10.1016/s1042-444x(03)00019-7","title":"Asymmetric option price distribution and bid\u2013ask quotes: consequences for implied volatility smiles","display_name":"Asymmetric option price distribution and bid\u2013ask quotes: consequences for implied volatility smiles","publication_year":2003,"publication_date":"2003-06-30","ids":{"openalex":"https://openalex.org/W3124375158","doi":"https://doi.org/10.1016/s1042-444x(03)00019-7","mag":"3124375158"},"language":"en","primary_location":{"id":"doi:10.1016/s1042-444x(03)00019-7","doi":"https://doi.org/10.1016/s1042-444x(03)00019-7","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1042-444x(03)00019-7","pdf_url":null,"source":{"id":"https://openalex.org/S92422469","display_name":"Journal of Multinational Financial Management","issn_l":"1042-444X","issn":["1042-444X","1873-1309"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Multinational Financial Management","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.302129","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":["Department of Corporate Finance, School of Business, Stockholm University, S-106 91 Stockholm, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Corporate Finance, School of Business, Stockholm University, S-106 91 Stockholm, 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":3080,"currency":"USD","value_usd":3080},"apc_paid":null,"fwci":2.1336,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.89786924,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"13","issue":"4-5","first_page":"423","last_page":"441"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9541000127792358,"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":0.9541000127792358,"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":0.02319999970495701,"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":0.019500000402331352,"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/bid-ask-spread","display_name":"bid-ask spread","score":0.7839999794960022},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.7879999876022339},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"volatility smile","score":0.9829999804496765},{"id":"https://openalex.org/keywords/put-and-call-options","display_name":"call and put options","score":0.7699999809265137},{"id":"https://openalex.org/keywords/in-the-money-options","display_name":"in-the-money options","score":0.8050000071525574},{"id":"https://openalex.org/keywords/out-of-the-money-options","display_name":"out-of-the-money options","score":0.9409999847412109},{"id":"https://openalex.org/keywords/equity-options","display_name":"equity options","score":0.6480000019073486}],"concepts":[{"id":"https://openalex.org/C76281924","wikidata":"https://www.wikidata.org/wiki/Q1499526","display_name":"Bid price","level":2,"score":0.7489166855812073},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.7243037223815918},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7015397548675537},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6395087242126465},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.6111555695533752},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.605801522731781},{"id":"https://openalex.org/C90329073","wikidata":"https://www.wikidata.org/wiki/Q914232","display_name":"Ask price","level":2,"score":0.5596722364425659},{"id":"https://openalex.org/C2780973918","wikidata":"https://www.wikidata.org/wiki/Q7099016","display_name":"Option value","level":3,"score":0.5278201699256897},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.524896502494812},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5226618647575378},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5164980292320251},{"id":"https://openalex.org/C38976095","wikidata":"https://www.wikidata.org/wiki/Q752641","display_name":"Asymmetry","level":2,"score":0.47286057472229004},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.4567580819129944},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.4243469834327698},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.17143025994300842},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07584425806999207},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/s1042-444x(03)00019-7","doi":"https://doi.org/10.1016/s1042-444x(03)00019-7","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1042-444x(03)00019-7","pdf_url":null,"source":{"id":"https://openalex.org/S92422469","display_name":"Journal of Multinational Financial Management","issn_l":"1042-444X","issn":["1042-444X","1873-1309"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Multinational Financial Management","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.302129","doi":"https://doi.org/10.2139/ssrn.302129","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.302129","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":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:eee:mulfin:v:13:y:2003:i:4-5:p:423-441","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1042-444X(03)00019-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.302129","doi":"https://doi.org/10.2139/ssrn.302129","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.302129","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":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W607012956","https://openalex.org/W1503295912","https://openalex.org/W1536481828","https://openalex.org/W1599491685","https://openalex.org/W1966977762","https://openalex.org/W1979986072","https://openalex.org/W1985808284","https://openalex.org/W2009449445","https://openalex.org/W2021070008","https://openalex.org/W2025268472","https://openalex.org/W2029929857","https://openalex.org/W2049234737","https://openalex.org/W2076756274","https://openalex.org/W2077791698","https://openalex.org/W2088601360","https://openalex.org/W2093362178","https://openalex.org/W2101421357","https://openalex.org/W2108818539","https://openalex.org/W2126416005","https://openalex.org/W2146121595","https://openalex.org/W2146612430","https://openalex.org/W2154092206","https://openalex.org/W2156361014","https://openalex.org/W2160573132","https://openalex.org/W2170962654","https://openalex.org/W2584798035"],"related_works":["https://openalex.org/W2021642527","https://openalex.org/W1536481828","https://openalex.org/W7045792409","https://openalex.org/W7097036483","https://openalex.org/W3121694482","https://openalex.org/W1557203751","https://openalex.org/W4321381620","https://openalex.org/W2171482039","https://openalex.org/W7099349885","https://openalex.org/W2118749541"],"abstract_inverted_index":null,"counts_by_year":[{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":4}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2021-02-01T00:00:00"}
