Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
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More about this item
Keywords
option pricing models; financial market volatility; high-frequency financial data; midquotes data; transactional data; realized volatility; implied volatility; stochastic volatility; microstructure bias; emerging markets;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2010-12-18 (Market Microstructure)
- NEP-RMG-2010-12-18 (Risk Management)
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