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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Main Authors:	Abdullah, Mimi Hafizah, Harun, Hanani Farhah, Nik Idris, Nik Ruzni
Format:	Article
Language:	English
Published:	World Academy of Science, Engineering and Technology 2014
Subjects:	HA Statistics HG Finance QA Mathematics
Online Access:	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

id	iium-38363
recordtype	eprints
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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HA Statistics HG Finance QA Mathematics
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
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.
format	Article
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
title	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_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_sort	implied adjusted volatility by leland option pricing models: evidence from australian index options
publisher	World Academy of Science, Engineering and Technology
publishDate	2014
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
first_indexed	2023-09-18T20:55:06Z
last_indexed	2023-09-18T20:55:06Z
_version_	1777410251637653504

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

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