Option-implied adjusted volatility using modified generalised Leland Models: an empirical study on Dow Jones industrial average index options

• Main Authors: Abdullah, Mimi Hafizah, Harun, Hanani Farhah
• Format: Article
• Language: English; English; English
• Published: UPM 2020
• Subjects: QA Mathematics
• Online Access: http://irep.iium.edu.my/92798/1/92798_Option-implied%20adjusted%20volatility.pdf; http://irep.iium.edu.my/92798/2/92798_Option-implied%20adjusted%20volatility_SCOPUS.pdf; http://irep.iium.edu.my/92798/3/92798_Option-implied%20adjusted%20volatility_WoS.pdf; http://irep.iium.edu.my/92798/; https://einspem.upm.edu.my/journal/

This study investigates the relative option pricing performance of Modified Generalised Leland models. We employ non-parametric mechanism within the conventional option-pricing framework based on the Leland models to assure realistic pricing of options. This study extends the models by developing Mo...