Extending generalised Leland option pricing models: simulation using Monte Carlo

To explain option pricing movements, most studies modify the Black-Scholes model by adding other factors. The parametric generalisation, on the other hand, frequently leads to an over-parametrisation problem in the model being constructed. The model's high constraints frequently resulted in con...

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Bibliographic Details

Main Authors:	Abdullah, Mimi Hafizah, Harun, Hanani Farhah
Format:	Proceeding Paper
Language:	en
Published:	2022
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/101309/18/101309_%20Extending%20generalised%20Leland%20option%20pricing%20models.pdf http://irep.iium.edu.my/101309/
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