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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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書誌詳細
主要な著者:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
フォーマット:	Conference or Workshop Item
言語:	English
出版事項:	2022
主題:	QA Mathematics
オンライン･アクセス:	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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