Correcting for risk premium on extended generalised Leland models: an empirical study on Dow Jones Industrial Average (DJIA) index options
The relative option pricing performance of Extended Generalised Leland models is examined in this study. We generalise the extended Leland models based on the implied adjusted volatility introduced in the models. Non-parametric framework is fitted into parametric option-pricing framework based on th...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
IOP Publishing Ltd
2021
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/93600/7/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised_SCOPUS.pdf http://irep.iium.edu.my/93600/8/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised.pdf http://irep.iium.edu.my/93600/ https://iopscience.iop.org/article/10.1088/1742-6596/1988/1/012045/pdf |
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Internet
http://irep.iium.edu.my/93600/7/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised_SCOPUS.pdfhttp://irep.iium.edu.my/93600/8/93600_Correcting%20for%20risk%20premium%20on%20extended%20generalised.pdf
http://irep.iium.edu.my/93600/
https://iopscience.iop.org/article/10.1088/1742-6596/1988/1/012045/pdf