Which Deterministic Volatility Model Fits Market Prices Exactly? : Evidence from the NIKKEI 225 Options Market(<Special English Issue>Optimization and Its Applications)

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概要

• 論文の詳細を見る

• This paper examines three kinds of deterministic volatility models. We identify the model that attains the most precise fit with options market prices, as required for accounting purposes, using an optimization model. We also draw attention to another important point in the selection of an appropriate option-pricing model.

• 社団法人日本経営工学会の論文
• 2008-02-15

著者

• Miyazaki Koichi

  Department Of Systems Engineering University Of Electro-communications

• Hoshika Hirofumi

  Department of Systems Engineering, University of Electro-Communications

• Hoshika Hirofumi

  Department Of Systems Engineering University Of Electro-communications

関連論文

• Which Deterministic Volatility Model Fits Market Prices Exactly? : Evidence from the NIKKEI 225 Options Market(Optimization and Its Applications)

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