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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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書目詳細資料
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
格式:	Conference or Workshop Item
語言:	English English
出版:	IOP Publishing Ltd 2021
主題:	QA Mathematics
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
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