Implied adjusted volatility functions: Empirical evidence from Australian index option market
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is i...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Physics
2015
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/49444/1/Implied_adjusted_volatility_functions_Empirical_evidence.pdf http://irep.iium.edu.my/49444/ http://dx.doi.org/10.1063/1.4907503 http://dx.doi.org/10.1063/1.4907503 |
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