Extending generalised Leland option pricing models: simulation using Monte Carlo

• Main Authors: Abdullah, Mimi Hafizah, Harun, Hanani Farhah
• Format: Conference or Workshop Item
• Language: English
• Published: 2022
• Subjects: QA Mathematics
• Online Access: http://irep.iium.edu.my/101309/18/101309_%20Extending%20generalised%20Leland%20option%20pricing%20models.pdf; http://irep.iium.edu.my/101309/
• Institution: Universiti Islam Antarabangsa Malaysia

To explain option pricing movements, most studies modify the Black-Scholes model by adding other factors. The parametric generalisation, on the other hand, frequently leads to an over-parametrisation problem in the model being constructed. The model's high constraints frequently resulted in con...