Implied adjusted volatility by leland option pricing models: evidence from Australian index options

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 (Unpublished)

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Abstract

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.

Item Type:	Conference or Workshop Item (Full Paper)
Additional Information:	4482/38362
Uncontrolled Keywords:	—Implied adjusted volatility, Financial crisis, Leland option pricing models.
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HG Finance Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Ms Mimi Hafizah Abdullah
Date Deposited:	17 Oct 2014 10:24
Last Modified:	17 Oct 2014 10:24
URI:	http://irep.iium.edu.my/id/eprint/38362

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