The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market

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The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market

This study examines the performance of a few option pricing models with transaction costs in valuing call options on S&P/ASX 200 index. The option pricing models of the original Leland model as well as its two variations are tested and contrasted with the Black-Scholes-Merton (BSM) model across...

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Bibliographic Details
Main Authors:	Abdullah, Mimi Hafizah, Li, Steven
Format:	Proceeding Paper
Language:	English
Published:	2010
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/11558/ http://irep.iium.edu.my/11558/1/Beijing_conference_mimi.pdf

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