The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market
This study examines the performance of a few option pricing models with transaction costs in valuing call options on S&P/ASX 200 index. The option pricing models of the original Leland model as well as its two variations are tested and contrasted with the Black-Scholes-Merton (BSM) model across...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/11558/1/Beijing_conference_mimi.pdf |