Empirical study of Nikkei 225 options with the Markov switching GARCH model

DOI10.1007/S10690-010-9120-6MaRDI QIDQ633826zbMATH OpenOpenAlexFDO

Authors Kiyotaka Satoyoshi, Hidetoshi Mitsui

Publication date 30 March 2011

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-010-9120-6

zbMATH Keywords

Markov switching GARCH modelMonte Carlo simulationNikkei 225 optionsrisk-neutralityvariance reduction technique

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)
• scientific article; zbMATH DE number 2170628
• Nonparametric Regression in Proportional Hazards Models
• American option pricing under GARCH diffusion model: an empirical study
• OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 2170628 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• scientific article; zbMATH DE number 2243787 (Why is no real title available?)
• Nonparametric Regression in Proportional Hazards Models
• OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(8)

• Bayesian option pricing using mixed normal heteroskedasticity models
• An alternative form used to calibrate the Heston option pricing model
• Estimation and prediction under local volatility jump-diffusion model
• Investigation of non-Gaussian effects in the Brazilian option market
• Option pricing under a normal mixture distribution derived from the Markov tree model
• A lattice approach for option pricing under a regime-switching GARCH-jump model
• Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model
• AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)

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