Implied adjusted volatility by leland option pricing models: evidence from Australian index options

Implied adjusted volatility by leland option pricing models: evidence from Australian index options

With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related,this study considers examining...

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Bibliographic Details
Main Authors: Abdullah, Mimi Hafizah, Harun, Hanani Farhah, Nik Idris, Nik Ruzni
Format: Article
Language:English
Published: World Academy of Science, Engineering and Technology 2014
Subjects:
HA Statistics
HG Finance
QA Mathematics
Online Access:http://irep.iium.edu.my/38363/1/Implied-Adjusted-Volatility-by-Leland-Option-Pricing-Models-Evidence-from-Australian-Index-Options.pdf
http://irep.iium.edu.my/38363/
http://waset.org/Publications/?path=Publications&q=Implied+adjusted+volatility+by+leland+option+pricing+models%3A+evidence+from+Australian+index+options&search=Search
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Institution: Universiti Islam Antarabangsa Malaysia
Language: English

Internet

http://irep.iium.edu.my/38363/1/Implied-Adjusted-Volatility-by-Leland-Option-Pricing-Models-Evidence-from-Australian-Index-Options.pdf
http://irep.iium.edu.my/38363/
http://waset.org/Publications/?path=Publications&q=Implied+adjusted+volatility+by+leland+option+pricing+models%3A+evidence+from+Australian+index+options&search=Search

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