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Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options Cover

Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options

Central European Economic Journal
Volume 4 (2017): Issue 51 (December 2017)
By: Kokoszczyński Ryszard,  Sakowski Paweł and  Ślepaczuk Robert  
Open Access
|Apr 2019
Authors

Authors

Kokoszczyński Ryszard

Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland

Sakowski Paweł

rslepaczuk@wne.edu.pl

Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland

Ślepaczuk Robert

Faculty of Economic Sciences, University of Warsaw, Warsaw, Poland
DOI: https://doi.org/10.1515/ceej-2018-0010 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001
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Language: English
Page range: 18 - 39
Published on: Apr 1, 2019
Published by: Faculty of Economic Sciences, University of Warsaw
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
Option pricing models,
high-frequency data,
realized volatility,
implied volatility,
stochastic volatility,
emerging markets
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Economic policy

© 2019 Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 4 (2017): Issue 51 (December 2017)
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