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Implied volatility functions of BS versus Leland: empirical evidence from Australian index option market

The Black-Scholes-Merton (BSM) model is a fundamental model in pricing option. The implied volatility for the option’s returns on the same underlying asset is assumed to be constant or invariant of the strike price or time to maturity of the options in this model. However, the implication of this as...

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書目詳細資料
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
格式:	Conference or Workshop Item
語言:	English
出版:	2022
主題:	QA Mathematics
在線閱讀:	http://irep.iium.edu.my/102453/18/102453_%20Implied%20volatility%20functions%20of%20BS%20versus%20Leland.pdf http://irep.iium.edu.my/102453/
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