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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:
Open Access
|Apr 2019
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 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.

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