Earticle

초록

영어

Despite the success and the user-friendly features of Black-Scholes (BS) pricing, many em- pirical results in the option pricing literature have shown the departures from the BS model. The motivation of this paper starts from these departures. Generalized Black-Scholes (GBS) formula, derived by a proper conditioning in a general mixture framework in the previous studies, allows us to keep analytic tractability under stochastic volatility model. Based on this formula, we provide a new prospective on the forecasting ability and information content of the BS implied volatility in the presence of nonzero leverage eect. The leverage eect, which is the correlation between the return and volatility process, is introduced to model the observed Black-Scholes implied volatility (BSIV) smile and its skewness. We provide a simple theoretical framework that explains and justies the use of BSIV from at-the-money option for the volatility forecast. Based on this and simulation study, which show the sensi- tivity of the concavity of option price with respect to the underlying stock price (the \gamma eect"), we propose a new a

목차

Abstract
 1 Introduction
 2 The Black-Scholes implied volatility as a proxy for volatility forecast
  2.1 The leverage eect on option prices
  2.2 Simulation study
 3 The modied Black-Scholes option pricing formula
  3.1 Simulation study
  3.2 Empirical Study
 4 Volatility forecast with the modied Black-Scholes implied volatility
 5 Conclusions
 References

저자

• Jungyeon Yoon [ Korea Banking Institute, Seoul, Korea ]
• Eric Renaulty [ Department of Economics, UNC-Chapel Hill, NC, USA ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330