Empirical study of Nikkei 225 options with the Markov switching GARCH model
Year of publication: |
2010
|
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Authors: | Satoyoshi, Kiyotaka ; Mitsui, Hidetoshi |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 18.2011, 1, p. 55-68
|
Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Japan | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätzung | Estimation |
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