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

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dc.contributor.authorMoon, Kyoung-Sook-
dc.contributor.authorSeon, Jung-Yon-
dc.contributor.authorWee, In-Suk-
dc.contributor.authorYoon, Choongseok-
dc.date.accessioned2021-09-08T19:28:15Z-
dc.date.available2021-09-08T19:28:15Z-
dc.date.created2021-06-10-
dc.date.issued2009-03-
dc.identifier.issn1015-8634-
dc.identifier.urihttps://scholar.korea.ac.kr/handle/2021.sw.korea/120524-
dc.description.abstractWe 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.-
dc.languageEnglish-
dc.language.isoen-
dc.publisherKOREAN MATHEMATICAL SOC-
dc.subjectCURRENCY OPTIONS-
dc.subjectPRICING-MODELS-
dc.subjectINTEREST-RATES-
dc.subjectVARIANCE-
dc.subjectMARKET-
dc.titleCOMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS-
dc.typeArticle-
dc.contributor.affiliatedAuthorWee, In-Suk-
dc.identifier.doi10.4134/BKMS.2009.46.2.209-
dc.identifier.scopusid2-s2.0-64549129910-
dc.identifier.wosid000264853900002-
dc.identifier.bibliographicCitationBULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, v.46, no.2, pp.209 - 227-
dc.relation.isPartOfBULLETIN OF THE KOREAN MATHEMATICAL SOCIETY-
dc.citation.titleBULLETIN OF THE KOREAN MATHEMATICAL SOCIETY-
dc.citation.volume46-
dc.citation.number2-
dc.citation.startPage209-
dc.citation.endPage227-
dc.type.rimsART-
dc.type.docTypeArticle-
dc.identifier.kciidART001331002-
dc.description.journalClass1-
dc.description.journalRegisteredClassscie-
dc.description.journalRegisteredClassscopus-
dc.description.journalRegisteredClasskci-
dc.relation.journalResearchAreaMathematics-
dc.relation.journalWebOfScienceCategoryMathematics-
dc.subject.keywordPlusCURRENCY OPTIONS-
dc.subject.keywordPlusPRICING-MODELS-
dc.subject.keywordPlusINTEREST-RATES-
dc.subject.keywordPlusVARIANCE-
dc.subject.keywordPlusMARKET-
dc.subject.keywordAuthoroption pricing-
dc.subject.keywordAuthorstochastic volatility model-
dc.subject.keywordAuthorHeston model-
dc.subject.keywordAuthorcorrelated Stein-Stein model-
dc.subject.keywordAuthorKOSPI 200 index option-
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