Option-implied adjusted volatility using modified generalised Leland Models: an empirical study on Dow Jones industrial average index options
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...
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Main Authors: | Abdullah, Mimi Hafizah, Harun, Hanani Farhah |
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Format: | Article |
Language: | English English English |
Published: |
UPM
2020
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Subjects: | |
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/ |
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