Earticle

초록

영어

In this study, we compare the pricing and hedging performance of options-pricing models using two parameter-estimation methods to employ cross-sectional options data with multiple maturities. In the Portfolio of Volatility Smiles method, each set of parameters that describe the individual volatility smile for each maturity are estimated separately. In the Volatility Surface method, a single parameter set that describes the entire volatility surface is estimated, regardless of the time to maturity. When pricing and hedging options with various times to maturity, the Portfolio of Volatility Smiles method generally outperforms the Volatility Surface method, irrespective of the option-pricing model used, maturity, and moneyness. Considering the volatility smile individually at each maturity is more effective in pricing and hedging options than is considering the volatility surface simultaneously.

목차

Abstract
Abstract
1. Introduction
2. Option Pricing Models and Parameter Estimation Methods
2.1 The Ad-Hoc Black-Scholes Model
2.2 The Stochastic Volatility Option Pricing Model
2.3 The Portfolio of Volatility Smiles Method and the Volatility Surface Method
3. Data
4. Pricing and Hedging Performance
4.1 In-sample Pricing Performance
4.2 Out-of-sample Pricing Performance
4.3 Hedging Performance
5. Conclusion
References

키워드

저자

• Sol Kim [ College of Business, Hankuk University of Foreign Studies ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330