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Hyperbolic pricing model for options on KOSPI 200
- Authors
- Wee, In-Suk; Wee, Jung Bum; Tak, Rae-Hyoun; Lee, Jong Hyun
- Issue Date
- 4월-2006
- Publisher
- WILEY
- Keywords
- option price; Black-Scholes model; hyperbolic model; Esscher transform
- Citation
- ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.35, no.2, pp.177 - 196
- Indexed
- SCIE
SCOPUS
KCI
- Journal Title
- ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES
- Volume
- 35
- Number
- 2
- Start Page
- 177
- End Page
- 196
- ISSN
- 2041-9945
- 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.
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