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, 55-68

Keywords: Markov Switching GARCH model; Monte Carlo simulation; Nikkei 225 options; Risk-neutrality; Variance reduction technique (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-010-9120-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:18:y:2011:i:1:p:55-68

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-010-9120-6

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().