Hyperbolic pricing model for options on KOSPI 200
DC Field | Value | Language |
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dc.contributor.author | Wee, In-Suk | - |
dc.contributor.author | Wee, Jung Bum | - |
dc.contributor.author | Tak, Rae-Hyoun | - |
dc.contributor.author | Lee, Jong Hyun | - |
dc.date.accessioned | 2021-09-09T06:34:41Z | - |
dc.date.available | 2021-09-09T06:34:41Z | - |
dc.date.created | 2021-06-19 | - |
dc.date.issued | 2006-04 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/123143 | - |
dc.description.abstract | We examine the statistical fitness of the option pricing model based on the hyperbolic distribution for Korea Composite Stock Price Index (KOSPI) 200. We estimate the parameters of the model, and develop the pricing formula for the European call option on KOSPI 200 using Esscher transform. We compute and compare the hyperbolic option prices with the prices predicted by the Black-Scholes model. The empirical results indicate that the hyperbolic model outperforms the Black-Scholes model for options on KOSPI 200. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | DISTRIBUTIONS | - |
dc.title | Hyperbolic pricing model for options on KOSPI 200 | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Wee, In-Suk | - |
dc.identifier.scopusid | 2-s2.0-77956210504 | - |
dc.identifier.wosid | 000238095600006 | - |
dc.identifier.bibliographicCitation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.35, no.2, pp.177 - 196 | - |
dc.relation.isPartOf | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.title | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.volume | 35 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 177 | - |
dc.citation.endPage | 196 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001008659 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | DISTRIBUTIONS | - |
dc.subject.keywordAuthor | option price | - |
dc.subject.keywordAuthor | Black-Scholes model | - |
dc.subject.keywordAuthor | hyperbolic model | - |
dc.subject.keywordAuthor | Esscher transform | - |
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