Implied adjusted volatility functions: empirical evidence from Australian index option market

• Main Authors: Harun, Hanani Farhah, Abdullah, Mimi Hafizah
• Format: Conference or Workshop Item
• Language: English
• Published: 2014
• Subjects: HA Statistics; HG Finance; QA Mathematics
• Online Access: http://irep.iium.edu.my/38358/1/Binder1.pdf; http://irep.iium.edu.my/38358/; http://ism2.ump.edu.my/
• Institution: Universiti Islam Antarabangsa Malaysia

With the implied volatility as a significant aspect particularly in option valuation, and given the fact that the pricing biases of Leland option pricing models and the implied volatility structure of the option are related, this study primarily aims to investigate the implied adjusted volatility fu...