Implied adjusted volatility by leland option pricing models: evidence from Australian index options

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Abdullah, Mimi Hafizah, Harun, Hanani Farhah, Nik Idris, Nik Ruzni
Format:	Proceeding Paper
Language:	English English
Published:	2014
Subjects:	HA Statistics HG Finance QA Mathematics
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

Similar Items

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility functions: empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2014)

An investigation of implied volatility during financial crisis: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility functions: Empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2015)

An investigation of implied volatility during financial crisis: Evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied transaction costs by leland option pricing models: A new approach and empirical evidence
by: Abdullah, Mimi Hafizah, et al.
Published: (2011)

Implied transaction costs by Leland option pricing model: a new approach and empirical evidence
by: Li, Steven, et al.
Published: (2012)

The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Wavelet improved option-implied moments: an empirical study
by: Harun, Hanani Farhah, et al.
Published: (2019)

Empirical performance of a model-free volatility against the different option strike size discreteness
by: Harun, Hanani Farhah, et al.
Published: (2019)

The role of option-implied information in improving a portfolio selection
by: Abdullah, Mimi Hafizah, et al.
Published: (2020)

Trading frequency and implied transaction costs of options: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

The role of an option-implied distribution in improving as asset allocation model
by: Bahaludin, Hafizah, et al.
Published: (2020)

Empirical performance of a model-free volatility against the different option strike size discreteness
by: Harun, Hanani Farhah, et al.
Published: (2018)

Missing variability in meta-analysis : is imputing always good?
by: Nik Idris, Nik Ruzni, et al.
Published: (2006)

Implied volatility and contagion in the options market
by: Prima Sakti, Muhammad Rizky, et al.
Published: (2014)

On the implied volatility from a "purified" option price process
by: Luong, C., et al.
Published: (2014)

A case study on the effect of imputing the missing variability measures in meta analysis
by: Nik Idris, Nik Ruzni
Published: (2007)

The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
by: Zhao, Wenjing
Published: (2009)

Assessing the importance of transaction costs in option pricing: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2009)

Implied volatility forecasting in the options market: a survey
by: Mohamad, Azhar
Published: (2016)

An empirical comparison of meta analysis models for continuous data with missing standard deviations
by: Nik Idris, Nik Ruzni, et al.
Published: (2011)

Asset allocation using option-implied moments
by: Bahaludin, Hafizah, et al.
Published: (2017)

Beyond classical meta-analysis: can inadequately reported studies be included?
by: Roberson, Chris, et al.
Published: (2004)

The Relationship of Volatility with Stock Index Option Returns and Prices
by: Tabassum, Saima
Published: (2020)

Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
by: Siow, Woon Jeng, et al.
Published: (2020)

Implied volatility in the individual stocks call options market: evidence from Malaysia
by: Mohamad, Azhar, et al.
Published: (2018)

Seasonality of volatility and returns and their causal relationship in the Kuala Lumpur Stock Exchange / by Toh Hock Chai.
by: Toh, Hock Chai
Published: (2001)

Multi-scale Volatility in Option Pricing
by: Liu, Shican
Published: (2018)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Estimation of option-implied risk-neutral into real-world density by using calibration function
by: Bahaludin, Hafizah, et al.
Published: (2016)

Estimation of option-implied risk-neutral into real-world density by using calibration function
by: Bahaludin, Hafizah, et al.
Published: (2017)

The effects of imputing the missing standard deviations on the standard error of meta analysis estimates
by: Nik Idris, Nik Ruzni, et al.
Published: (2009)

An analysis of design effects for media index survey in Peninsular Malaysia / Tee Leang Hai.
by: Tee, Leang Hai
Published: (2000)

Garch Models: Forecasting Volatility and Pricing Options
by: Joshi, Sahil
Published: (2010)

Modeling volatility in foreign currency option pricing
by: Hoque, M., et al.
Published: (2009)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Estimating the bias in meta analysis estimates for continuous data with non-random missing study variance
by: Nik Idris, Nik Ruzni
Published: (2010)

Modelling repeated measures data in meta analysis: an alternative approach
by: Nik Idris, Nik Ruzni
Published: (2008)

Pricing warrant by using binomial model : comparison between historical and implied volatility / Muhammad Nasruddeen Mazlan
by: Mazlan, Muhammad Nasruddeen
Published: (2020)