Pricing Nikkei 225 options using realized volatility
Year of publication: |
2014
|
---|---|
Authors: | Ubukata, Masato ; Watanabe, Toshiaki |
Published in: |
The Japanese economic review : the journal of the Japanese Economic Association. - Richmond, Vic. : Wiley, ISSN 1352-4739, ZDB-ID 1335724-4. - Vol. 65.2014, 4, p. 431-467
|
Subject: | Optionsgeschäft | Option trading | Volatilität | Volatility | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Marktmikrostruktur | Market microstructure | Japan |
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