Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
Markov Switching GARCH model; Monte Carlo simulation; Nikkei 225 options; Risk-neutrality; Variance reduction technique;
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