Empirical study of Nikkei 225 options with the Markov switching GARCH model (Q633826)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Empirical study of Nikkei 225 options with the Markov switching GARCH model |
scientific article; zbMATH DE number 5871654
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical study of Nikkei 225 options with the Markov switching GARCH model |
scientific article; zbMATH DE number 5871654 |
Statements
Empirical study of Nikkei 225 options with the Markov switching GARCH model (English)
0 references
30 March 2011
0 references
Markov switching GARCH model
0 references
Monte Carlo simulation
0 references
Nikkei 225 options
0 references
risk-neutrality
0 references
variance reduction technique
0 references
0 references
