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Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
Digital規格・テクニカルリポート類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Subject Headingmicrostructure noise Nikkei 225 stock index non-trading hours option pric...

An empirical analysis of the Nikkei 225 put options using realized GARCH models

An empirical analysis of the Nikkei 225 put options using realized GARCH models
Digital規格・テクニカルリポート類
竹内, 明香Institute of Economic Research, Hitotsubashi University2012-09
Available onlineOther Libraries in Japan
  • Subject Headingput option pricing realized GARCH non-trading hours microstructure noise Nikkei 225 stock index

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