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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
World Academy of Science, Engineering and Technology
2014
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| Subjects: | |
| 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 |