Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model
Year of publication: |
2011
|
---|---|
Authors: | Satoyoshi, Kiyotaka ; Mitsui, Hidetoshi |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 1, p. 55-68
|
Publisher: |
Springer |
Subject: | Markov Switching GARCH model | Monte Carlo simulation | Nikkei 225 options | Risk-neutrality | Variance reduction technique |
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