Showing 1 - 4 results of 4 for search '"price bias"', query time: 0.05s Refine Results
  1. 1
    Implied adjusted volatility by leland option pricing models: evidence from Australian index options
    “… in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models…”
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  2. 2
    Implied adjusted volatility by leland option pricing models: evidence from Australian index options
    “… in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models…”
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  3. 3
    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, Li, Steven
    Published 2010
    “… the Leland models are subject to fewer and weaker pricing biases than are the prices from the BSM model…”
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  4. 4
    Implied adjusted volatility functions: empirical evidence from Australian index option market
    “… the fact that the pricing biases of Leland option pricing models and the implied volatility structure…”
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