Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model

被引：5
作者：
Satoyoshi K. [1 ]
Mitsui H. [2 ]
机构：
[1] Faculty of Business Administration, Toyo University, Tokyo 112-8606, 5-28-20 Hakusan, Bunkyo-ku
[2] College of Economics, Nihon University, Tokyo 101-8360, 1-3-2 Misaki-cho, Chiyoda-ku
来源：
Asia-Pacific Financial Markets | 2011年 / 18卷 / 1期
关键词：
Markov Switching GARCH model; Monte Carlo simulation; Nikkei; 225; options; Risk-neutrality; Variance reduction technique;
D O I：
10.1007/s10690-010-9120-6
中图分类号：
学科分类号：
摘要：
This paper investigates the pricing of Nikkei 225 Options using the Markov Switching GARCH (MSGARCH) model, and examines its practical usefulness in option markets. We assume that investors are risk-neutral and then compute option prices by using Monte Carlo simulation. The results reveal that, for call options, the MSGARCH model with Student's t-distribution gives more accurate pricing results than GARCH models and the Black-Scholes model. However, this model does not have good performance for put options. © 2010 Springer Science+Business Media, LLC.
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页码：55 / 68
页数：13
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