Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
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References listed on IDEAS
- Corrado, Charles J & Su, Tie, 1996.
"Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, Summer.
- Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
- V. L. Martin & G. M. Martin & G. C. Lim, 2005.
"Parametric pricing of higher order moments in S&P500 options,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
- G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
More about this item
Keywordsoption pricing models; financial market volatility; high-frequency financial data; midquotes data; transactional data; realized volatility; implied volatility; stochastic volatility; microstructure bias; emerging markets;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-MST-2010-12-18 (Market Microstructure)
- NEP-RMG-2010-12-18 (Risk Management)
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