Earticle

초록

영어

In this study, the pricing performances of alternative simple option models are examined by creating a simulated market environment in which asset prices evolve according to a stochastic volatility process. To do this, option prices fully consistent with Heston[9]'s model are generated. Assuming this prices as market prices, the trading positions utilizing the Black-Scholes[4] model, a semi-parametric Corrado-Su[7] model and an ad-hoc modified Black-Scholes model are evaluated with respect to the true option prices obtained from Heston's stochastic volatility model. The simulation results suggest that both the Corrado-Su model and the modified Black-Scholes model perform well in this simulated world substantially reducing the biases of the Black-Scholes model arising from stochastic volatility. Surprisingly, however, the improvements of the modified Black-Scholes model over the Black-Scholes model are much higher than those of the Corrado-Su model.

목차

ABSTRACT
 1. Introduction
 2. Option Models
  2.1 The Black-Scholes model
  2.2 Heston's stochastic volatility model
  2.3 Modified Black-Scholes Model
  2.4 Corrado-Su Model
 3. Empirical Analysis
  3.1 Call option data and Implied volatility
  3.2 Fiting altermative option models
 4. Simulation Experiments
  4.1 experimental simulation design
  4.2 Simulation Results
 5. Conclusion
 References

저자

• Do-Sub Jung [ Associate Professor, Sun Moon University ]

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