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

키워드

저자

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

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  디지털융복합연구 [Journal of Digital Convergence]

• 간기

  계간

• pISSN

  2713-6434

• eISSN

  2713-6442

• 수록기간

  2003~2026

• 등재여부

  KCI 등재후보

• 십진분류

  KDC 569 DDC 620