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Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options

위인숙|문경숙|Jung-Yon Seon|Choongseok Yoon
대한수학회 (The Korean Mathematical Society)|2009.03|대한수학회보 (Bulletin of the KMS)|제46권 제2호|pp. 209-227

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키워드

option pricingstochastic volatility modelKOSPI 200 index optionHeston modelcorrelated Stein-Stein model
주제분류수학

초록

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.

Abstract

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.

참고문헌 (22)

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