Implied adjusted volatility by leland option pricing models: evidence from Australian index options
With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related, this study considers examining...
| Main Authors: | , , |
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2014
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| Online Access: | http://irep.iium.edu.my/38362/ http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf http://irep.iium.edu.my/38362/44/Binder1.pdf |
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| author | Abdullah, Mimi Hafizah Harun, Hanani Farhah Nik Idris, Nik Ruzni |
| author_facet | Abdullah, Mimi Hafizah Harun, Hanani Farhah Nik Idris, Nik Ruzni |
| author_sort | Abdullah, Mimi Hafizah |
| building | IIUM Repository |
| collection | Online Access |
| description | With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related, this study considers examining the implied adjusted volatility smile patterns and term structures in the S&P/ASX 200 index options using the different Leland option pricing models. The examination of the implied adjusted volatility smiles and term structures in the Australian index options market covers the global financial crisis in the mid-2007. The implied adjusted volatility was found to escalate approximately triple the rate prior the crisis. |
| first_indexed | 2025-11-14T15:51:59Z |
| format | Proceeding Paper |
| id | iium-38362 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T15:51:59Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-383622014-10-17T02:24:47Z http://irep.iium.edu.my/38362/ Implied adjusted volatility by leland option pricing models: evidence from Australian index options Abdullah, Mimi Hafizah Harun, Hanani Farhah Nik Idris, Nik Ruzni HA Statistics HG Finance QA Mathematics With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related, this study considers examining the implied adjusted volatility smile patterns and term structures in the S&P/ASX 200 index options using the different Leland option pricing models. The examination of the implied adjusted volatility smiles and term structures in the Australian index options market covers the global financial crisis in the mid-2007. The implied adjusted volatility was found to escalate approximately triple the rate prior the crisis. 2014 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf application/pdf en http://irep.iium.edu.my/38362/44/Binder1.pdf Abdullah, Mimi Hafizah and Harun, Hanani Farhah and Nik Idris, Nik Ruzni (2014) Implied adjusted volatility by leland option pricing models: evidence from Australian index options. In: International Conference on Applied Mathematics (ICAM 2014), 18th-19th August 2014, Istanbul, Turkey. (Unpublished) |
| spellingShingle | HA Statistics HG Finance QA Mathematics Abdullah, Mimi Hafizah Harun, Hanani Farhah Nik Idris, Nik Ruzni Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title | Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title_full | Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title_fullStr | Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title_full_unstemmed | Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title_short | Implied adjusted volatility by leland option pricing models: evidence from Australian index options |
| title_sort | implied adjusted volatility by leland option pricing models: evidence from australian index options |
| topic | HA Statistics HG Finance QA Mathematics |
| url | http://irep.iium.edu.my/38362/ http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf http://irep.iium.edu.my/38362/44/Binder1.pdf |