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

• 主要な著者: Abdullah, Mimi Hafizah, Harun, Hanani Farhah, Nik Idris, Nik Ruzni
• フォーマット: 論文
• 言語: English
• 出版事項: World Academy of Science, Engineering and Technology 2014
• 主題: HA Statistics; HG Finance; QA Mathematics
• オンライン･アクセス: 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

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...