Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options

Publié en ligne: 01 avr. 2019

Pages: 18 - 39

DOI: https://doi.org/10.1515/ceej-2018-0010

Mots clés

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.