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...
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| Format: | Article |
| Language: | English |
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World Academy of Science, Engineering and Technology
2014
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| Online Access: | http://irep.iium.edu.my/38363/ http://irep.iium.edu.my/38363/1/Implied-Adjusted-Volatility-by-Leland-Option-Pricing-Models-Evidence-from-Australian-Index-Options.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.
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| first_indexed | 2025-11-14T15:51:59Z |
| format | Article |
| id | iium-38363 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:51:59Z |
| publishDate | 2014 |
| publisher | World Academy of Science, Engineering and Technology |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-383632016-01-22T06:34:14Z http://irep.iium.edu.my/38363/ 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. World Academy of Science, Engineering and Technology 2014 Article PeerReviewed application/pdf en http://irep.iium.edu.my/38363/1/Implied-Adjusted-Volatility-by-Leland-Option-Pricing-Models-Evidence-from-Australian-Index-Options.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. International Journal of Social, Management, Economics and Business Engineering, 8 (8). pp. 2599-2610. ISSN 1307-6892 http://waset.org/Publications/?path=Publications&q=Implied+adjusted+volatility+by+leland+option+pricing+models%3A+evidence+from+Australian+index+options&search=Search |
| 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/38363/ http://irep.iium.edu.my/38363/ http://irep.iium.edu.my/38363/1/Implied-Adjusted-Volatility-by-Leland-Option-Pricing-Models-Evidence-from-Australian-Index-Options.pdf |