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Search: subject:"Nikkei 225 options"
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Nikkei 225 options
3
CEV model
1
EGARCH models
1
GARCH models
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Japanese equity warrants
1
London OTC warrant market
1
Market efficiency
1
Markov Switching GARCH model
1
Monte Carlo simulation
1
Put-call parity
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Risk-neutrality
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Variance reduction technique
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equity derivatives
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option pricing
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stochastic volatility
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trading costs
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English
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Kuwahara, Hiroto
1
Li, Steven
1
Marsh, Terry A.
1
Mitsui, Hidetoshi
1
Satoyoshi, Kiyotaka
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Asia-Pacific Financial Markets
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Management Science
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Monetary and Economic Studies
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The Arbitrage Efficiency of the
Nikkei
225
Options
Market: A Put-Call Parity Analysis
Li, Steven
- In:
Monetary and Economic Studies
24
(
2006
)
2
,
pp. 33-54
of the
Nikkei
225
options
market, although arbitrage opportunities do exist occasionally. …
Persistent link: https://www.econbiz.de/10004975793
Saved in:
2
Empirical Study of
Nikkei
225
Options
with the Markov Switching GARCH Model
Satoyoshi, Kiyotaka
;
Mitsui, Hidetoshi
- In:
Asia-Pacific Financial Markets
18
(
2011
)
1
,
pp. 55-68
Persistent link: https://www.econbiz.de/10008926408
Saved in:
3
The Pricing of Japanese Equity Warrants
Kuwahara, Hiroto
;
Marsh, Terry A.
- In:
Management Science
38
(
1992
)
11
,
pp. 1610-1641
substantially from corresponding prices; in contrast, away-from-the-money short-term
Nikkei
225
options
valued with the same …
Persistent link: https://www.econbiz.de/10009191190
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