Implied volatility functions of BS versus Leland: empirical evidence from Australian index option market
The Black-Scholes-Merton (BSM) model is a fundamental model in pricing option. The implied volatility for the option’s returns on the same underlying asset is assumed to be constant or invariant of the strike price or time to maturity of the options in this model. However, the implication of this as...
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| Main Authors: | , |
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| 格式: | Conference or Workshop Item |
| 语言: | English |
| 出版: |
2022
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| 在线阅读: | http://irep.iium.edu.my/102453/18/102453_%20Implied%20volatility%20functions%20of%20BS%20versus%20Leland.pdf http://irep.iium.edu.my/102453/ |
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