Earticle

초록

영어

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied volatility from option prices, to overcome the forecasting bias from Black and Scholes (1973) model. Heston (1993)’s model which improves on the problems of Black and Scholes (1973) model the most for pricing and hedging options is one candidate, and VIX which is the expected risk neutral value of realized volatility under the discrete version is the other. This study conducts a comparative analysis on the implied volatility from Black and Scholes (1973) model, that from Heston (1993)’s model, and VIX for the forecasting performance of future volatility. From the empirical analysis on KOSPI200 option market, it is found that Heston (1993)’s implied volatility eliminates the bias mostly which Black and Scholes (1973) implied volatility has. VIX, on the other hand, does not show any improvement for the forecasting performance.

목차

Abstract
 1 Introduction
 2 Volatility Model
  2.1 Stochastic Volatility Model
  2.2 VIX
  2.3 Realized Volatility
 3 Data
 4 The relationship between implied and realized volatility
  4.1 Econometric analysis model
  4.2 Unbiasedness Tests
  4.3 Informational Efficiency Tests
  4.4 Relative Strength Tests
 5 Conclusion
 References
 Table

키워드

저자

• Suk Joon Byun [ assistant professor of the Business School at the Korea Advanced Institute of Science and Technology ]
• Sol Kim [ assistant professor of College of Business Administration at Hankuk University of Foreign Studies. ]
• Dong Woo Rhee [ doctorial candidate of the Business School at the Korea Advanced Institute of Science and Technology. ] Corresponding author

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발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330