Correcting for risk premium on extended generalised Leland models: an empirical study on Dow Jones Industrial Average (DJIA) index options

• Main Authors: Harun, Hanani Farhah, Abdullah, Mimi Hafizah
• Format: Conference or Workshop Item
• Language: English; English
• Published: IOP Publishing Ltd 2021
• Subjects: QA Mathematics
• Online Access: http://irep.iium.edu.my/93600/7/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised_SCOPUS.pdf; http://irep.iium.edu.my/93600/8/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised.pdf; http://irep.iium.edu.my/93600/; https://iopscience.iop.org/article/10.1088/1742-6596/1988/1/012045/pdf
• Institution: Universiti Islam Antarabangsa Malaysia

The relative option pricing performance of Extended Generalised Leland models is examined in this study. We generalise the extended Leland models based on the implied adjusted volatility introduced in the models. Non-parametric framework is fitted into parametric option-pricing framework based on th...