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...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/38358/ http://irep.iium.edu.my/38358/ http://irep.iium.edu.my/38358/1/Binder1.pdf |