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

DOI10.1007/s10690-010-9120-6zbMath1208.91164OpenAlexW2132531668MaRDI QIDQ633826

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

Monte Carlo simulationrisk-neutralityNikkei 225 optionsMarkov switching GARCH modelvariance 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)

Related Items (2)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ A lattice approach for option pricing under a regime-switching GARCH-jump model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• THE GARCH OPTION PRICING MODEL
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Nonparametric Regression in Proportional Hazards Models
• OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

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