Can option pricing models catch the difference? : empirical performance of option pricing models in KOSPI200 options market = 코스피 200 지수를 이용한 다양한 옵션 가격결정 모형의 성과 비교 empirical performance of option pricing models in KOSPI200 options market

This paper compares alternative options pricing models`` performance and their implications. Stochastic volatility, stochastic interest rate, returns-jump, and volatility jump are added to the BS model. We examine i) In-sample fitting performance with numerical and graphical methods 2) Out-sample performance with the implied volatility consistency and pricing errors 3) Delta hedge performance. Additionally we find that KOSPI 200 index based options had abnormal price gap between call options and put options from year 2000 to 2002. Call options have on average lower implied volatility compared to put options. We investigate if different models can find abnormal price and implied volatility structure with results that doubt the use of put-call parity.
Advisors
Kang, Jang-Kooresearcher강장구researcher
Publisher
한국과학기술원
Issue Date
2004
Identifier
238561/325007  / 020023409
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학전공, 2004.2, [ iv, 67 p. ]

Keywords

KOSPI200 OPTION PERFORMANCE DIFFERENCE; 코스피200 옵션 모형 비교

URI
http://hdl.handle.net/10203/52459
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=238561&flag=t
Appears in Collection
KGSM-Theses_Master(석사논문)
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