%0 Journal Article
	%A Mimi Hafizah Abdullah and  Hanani Farhah Harun and  Nik Ruzni Nik Idris
	%D 2014
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 92, 2014
	%T Implied Adjusted Volatility by Leland Option Pricing Models: Evidence from Australian Index Options
	%U https://publications.waset.org/pdf/9999137
	%V 92
	%X 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.

	%P 2653 - 2664