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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: Conference or Workshop Item
Language:English
English
Published: 2014
Subjects:
HA Statistics
HG Finance
QA Mathematics
Online Access:http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf
http://irep.iium.edu.my/38362/44/Binder1.pdf
http://irep.iium.edu.my/38362/
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spelling my.iium.irep.383622014-10-17T02:24:47Z http://irep.iium.edu.my/38362/ 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. 2014 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf application/pdf en http://irep.iium.edu.my/38362/44/Binder1.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. In: International Conference on Applied Mathematics (ICAM 2014), 18th-19th August 2014, Istanbul, Turkey. (Unpublished)
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
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 Conference or Workshop Item
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
publishDate 2014
url http://irep.iium.edu.my/38362/41/Implied_Adjusted_Volatility_by_Leland_Option_Pricing_Models_.pdf
http://irep.iium.edu.my/38362/44/Binder1.pdf
http://irep.iium.edu.my/38362/
_version_ 1643611407222046720
score 13.211869

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