2. Illustration of the Nikkei 225 option data
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1
2 1. Introduction
3
4 2. Illustration of the Nikkei 225 option data 2.1 A brief outline of the Nikkei 225 options market τ 2.2 Estimation of the theoretical price τ
5 = + ε ε = = + ε + = = + ε + ε + ε = + ε ε + γ σ ω 3. Analysis of the difference between the market price and the theoretical price 3.1 Model
6 = = = = = = τ ττ τ ε ε ε τ ε τ τ ε ε ε ε τ ε ε ε τ ε τ
7 ε = ε = ε = ε = τ = Σ Σ Λ= Λ = Λ = + = = + Σ Λ Λ Λ Λ Λ Λ Λ Λ = Λ Λ Λ Λ Λ Λ Λ Λ
8 Σ Λ Λ Λ Λ Λ = = = Λ 3.2 Treatment of 0-value data <
9 = = = = = = > < < = = = = ε + ε + ε + ε =
10 μσ = = = = = = = = + σ σ σ τ σ τ = = = = = + η η τ ν Σ
11 μ ν 0 Σ μ ν 4. Estimation results = = = β β τ, β σ σ σ τ σ σ σ τ = = =
12 Table 1: CALL: Estimation results in FGLS β β τ β τ β τ β τ β β σ σ σ τ σ β β β τ β τ
13 Table 2: PUT: Estimation results in GLS β β τ β τ β τ β τ β β σ σ σ τ σ β σ σ σ τ β
14 β τ σ σ σ τ
15 5. Conclusions A Estimation of truncation point
16 = < μ σ = < = = > = μ = < = = < σ = + + < =
17 = < Λ = > = Λ = σ μ Σ μ Σ ΣΣ = = < Σ Λ = > Λ = = = > =
18 Acknowledgement Footnotes References
19
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