COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS

被引：1

作者：

Moon, Kyoung-Sook ^{[1
]}

Seon, Jung-Yon ^{[2
]}

Wee, In-Suk ^{[2
]}

Yoon, Choongseok ^{[2
]}

机构：

[1] Kyungwon Univ, Dept Math & Informat, Gyeonggi Do 461701, South Korea

[2] Korea Univ, Dept Math, Seoul 136701, South Korea

来源：

BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | 2009年 / 46卷 / 02期

关键词：

option pricing; stochastic volatility model; Heston model; correlated Stein-Stein model; KOSPI 200 index option; CURRENCY OPTIONS; PRICING-MODELS; INTEREST-RATES; VARIANCE; MARKET;

D O I：

10.4134/BKMS.2009.46.2.209

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

引用

页码：209 / 227

页数：19

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