Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model
Kiyotaka Satoyoshi () and
Hidetoshi Mitsui ()
Asia-Pacific Financial Markets, 2011, vol. 18, issue 1, pages 55-68
Keywords: Markov Switching GARCH model; Monte Carlo simulation; Nikkei 225 options; Risk-neutrality; Variance reduction technique (search for similar items in EconPapers)
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