Earticle

초록

영어

We examine the pricing performance of the alternative option pricing models using intraday data of KOSPI 200 index options. For the comparison, we consider Black and Scholes (1973) model, simple traders’ rule which is called ad hoc Black-Scholes model, the stochastic volatility model and the stochastic volatility with jumps model. Contrary to the results of Jackwerth and Rubinstein (2001), Li and Pearson (2007), and Kim (2009) using daily data, it is found that the most complicated model, that is, the stochastic volatility with jumps model, shows the best performance followed by the stochastic volatility model for pricing KOSPI 200 index options. As a result, when we consider intraday data, the traders’ rules does not dominate mathematically sophisticated models and the complicated models show better performance than simple traders’ rule or the Black and Scholes (1973) model.

목차

Abstract
 I. Introduction
 II. Model
  1. Ad Hoc Black-Scholes Model
  2. Stochastic Volatility and Stochastic Volatility with Jumps models
 III. Data
 IV. Empirical Results
  1. In-sample Pricing Performance
  2. Out-of-sample Pricing Performance
 V. Conclusion
 Appendix
 References
 Table

키워드

저자

• Sol Kim [ Associate Professor College of Business Administration Hankuk University of Foreign Studies 270, Imun-dong, Dongdaemun-Gu, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330