Implied adjusted volatility functions: empirical evidence from Australian index option market

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Implied adjusted volatility functions: empirical evidence from Australian index option market

With the implied volatility as a significant aspect particularly in option valuation, and given the fact that the pricing biases of Leland option pricing models and the implied volatility structure of the option are related, this study primarily aims to investigate the implied adjusted volatility fu...

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Bibliographic Details
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Proceeding Paper
Language:	English
Published:	2014
Subjects:	HA Statistics HG Finance QA Mathematics
Online Access:	http://irep.iium.edu.my/38358/ http://irep.iium.edu.my/38358/1/Binder1.pdf

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