Kokoszczyński, Ryszard; Sakowski, Paweł; Ślepaczuk, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2010
Option pricing models are the main subject of many research papers prepared both in academia and financial industry. Using high-frequency data for Nikkei225 index options, we check the properties of option pricing models with different assumptions concerning the volatility process (historical,...