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...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | Conference or Workshop Item |
| 語言: | English English |
| 出版: |
IOP Publishing Ltd
2021
|
| 主題: | |
| 在線閱讀: | 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
因特網
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