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Central European Economic Journal
Volume 4 (2017): Issue 51 (December 2017)
Open Access
Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
Kokoszczyński Ryszard
Kokoszczyński Ryszard
,
Sakowski Paweł
Sakowski Paweł
and
Ślepaczuk Robert
Ślepaczuk Robert
| Apr 01, 2019
Central European Economic Journal
Volume 4 (2017): Issue 51 (December 2017)
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Published Online:
Apr 01, 2019
Page range:
18 - 39
DOI:
https://doi.org/10.1515/ceej-2018-0010
Keywords
Option pricing models
,
high-frequency data
,
realized volatility
,
implied volatility
,
stochastic volatility
,
emerging markets
© 2017 R. Kokoszczyński, P. Sakowski, R. Ślepaczuk, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.