China's ETF Options Market Reveals Pricing Inefficiencies and Volatility Patterns
The study looked at how the prices of options on a Chinese stock market ETF change based on their maturity and how in-the-money and out-of-the-money options are priced compared to at-the-money options. They found that using certain methods to calculate implied volatility can help price options more accurately, especially for options that are deep in or out of the money. However, no single method works perfectly for all types of options.