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

抄録

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.