Empirical study of Nikkei 225 options with the Markov switching GARCH model
Kiyotaka Satoyoshi; Hidetoshi Mitsui
| Year of publication: |
2010
|
|---|---|
| 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 | Optionspreistheorie | Option pricing theory | Japan | Optionsgeschäft | Option trading | Schätzung | Estimation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009237749