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

• 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
• Institution: Universiti Islam Antarabangsa Malaysia

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...