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

This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is i...

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Bibliographic Details
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Article
Language:	English
Published:	American Institute of Physics 2015
Subjects:	HG Finance QA Mathematics
Online Access:	http://irep.iium.edu.my/49444/ http://irep.iium.edu.my/49444/1/Implied_adjusted_volatility_functions_Empirical_evidence.pdf

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