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

Download Article

Download the full article as a PDF file.

DOI: https://doi.org/10.1515/ceej-2018-0010 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001

Journal RSS Feed

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 times 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.

Previous article Volume 4 (2017): Issue 51 (December 2017)Next article