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An Analysis of Option Pricing in the Japanese Market

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Satoru Kanoh
Asuka Takeuchi
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Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-145.

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Date of creation: Mar 2006
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Handle: RePEc:hst:hstdps:d05-145

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  1. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August. [Downloadable!] (restricted)
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  2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  3. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August. [Downloadable!] (restricted)
  4. Bookstaber, Richard M, 1981. "Observed Option Mispricing and the Nonsimultaneity of Stock and Option Quotations," Journal of Business, University of Chicago Press, vol. 54(1), pages 141-55, January. [Downloadable!] (restricted)
  5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  6. Watanabe, Toshiaki, 2000. "Excess Kurtosis of Conditional Distribution for Daily Stock Returns: The Case of Japan," Applied Economics Letters, Taylor and Francis Journals, vol. 7(6), pages 353-55, June. [Downloadable!] (restricted)
  7. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04. [Downloadable!] (restricted)
  8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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