Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
Publié en ligne: 01 avr. 2019
Pages: 18 - 39
© 2017 R. Kokoszczyński, P. Sakowski, R. Ślepaczuk, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Number of theoretical premiums for different classes of MR and TTM for BRV model*
option | moneyness | 0–15 days | 16–30 days | 31–60 days | 61–90 days | 91+ days | Total |
---|
CALL | deep OTM | 372 | 4327 | 27089 | 23799 | 10494 | 66081 |
| OTM | 6501 | 11635 | 22572 | 19567 | 8959 | 69234 |
| ATM | 8199 | 9681 | 17385 | 12141 | 5368 | 52774 |
| ITM | 3880 | 4510 | 5373 | 1484 | 761 | 16008 |
| deep ITM | 1205 | 1935 | 3032 | 1044 | 1335 | 8551 |
| total CALL | 20157 | 32088 | 75451 | 58035 | 26917 | 212648 |
PUT | deep OTM | 6964 | 20580 | 44831 | 31225 | 7768 | 111368 |
| OTM | 6109 | 8142 | 15466 | 12674 | 5631 | 48022 |
| ATM | 8028 | 9669 | 17014 | 12001 | 6413 | 53125 |
| ITM | 4278 | 4826 | 7427 | 1790 | 1096 | 19417 |
| deep ITM | 2411 | 3002 | 3098 | 1161 | 1962 | 11634 |
| total PUT | 27790 | 46219 | 87836 | 58851 | 22870 | 243566 |
total CALL and PUT | | 47947 | 78307 | 163287 | 116886 | 49787 | 456214 |
The descriptive statistics for Nikkei 225 index returns for samples with and without opening jump effects
| sample with opening jump effects | | sample without opening and mid-session jump effects |
---|
N | | | 6745 | | 6504 |
Mean | | | -0,000025394 | | -0,000014111 |
Median | | | 0,000032644 | | 0,000036116 |
Standard Deviation | | | 0,0030907 | | 0,0028429 |
Minimum | | | -0,0319108 | | -0,0319108 |
Maximum | | | 0,0216127 | | 0,0216127 |
Kurtosis | | | 10,4364219 | | 12,7560437 |
Skewness | | | -0,6227228 | | 0,7206586 |
|
| Normality tests | | | | |
|
Kolmogorov-Smirnov | Statistic | | 0,093349 | | 0,086497 |
Jarque-Berra | Statistic | | 30995,9195 | | 44584,7971 |