Pricing Nikkei 225 Options Using Realized Volatility
نویسندگان
چکیده
منابع مشابه
Forecasting the Volatility of Nikkei 225 Futures ∗
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 fut...
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ژورنال
عنوان ژورنال: Japanese Economic Review
سال: 2013
ISSN: 1352-4739
DOI: 10.1111/jere.12024