Pricing Nikkei 225 options using realized volatility / Masato Ubukata and Toshiaki Watanabe.
"This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure noise and with or without using overnight and lunch-ti...
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| Format: | Book |
| Language: | English |
| Published: |
Tokyo, Japan :
Institute for Monetary and Economic Studies, Bank of Japan,
[2011]
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| Series: | IMES discussion paper series ;
no. 2011-E-18. |
| Subjects: |
Norlin Library - Basement - Government Information - Foreign
| Call Number: |
674-B22M 5:2011-E-18
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| 674-B22M 5:2011-E-18 | Available Place a Hold |