Li, Ming-Yuan Leon; Chen, Chun-Nan - In: Journal of Applied Statistics 37 (2010) 7, pp. 1173-1191
This study examines the dynamics of the interrelation between option and stock markets using the Markov-switching vector error correction model. Specifically, we calculate the implied stock prices from the Black-Scholes 6 model and establish a statistic framework in which the parameter of the...