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- W4308396768 abstract "This study finds the best option pricing model for KOSPI 200 weekly options. It examines the in-sample pricing, out-of-sample pricing and hedging performances of the short-term options with a maximum maturity of seven days or less, which have not been analyzed in previous studies. The Black and Scholes (1973) model, Ad Hoc Black-Scholes model, and stochastic volatility and jumps models are compared. As a result, one of the Ad Hoc BlackScholes models, the absolute smile model using the strike price as an independent variable shows the best performance. However, its performance is not significantly different from that of the Black and Scholes (1973) model. In the early days of the KOSPI 200 weekly options market, it is confirmed that the Black and Scholes (1973) model continues to show the excellent performance in pricing and hedging options." @default.
- W4308396768 created "2022-11-11" @default.
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- W4308396768 date "2022-10-31" @default.
- W4308396768 modified "2023-09-25" @default.
- W4308396768 title "The Best Option Pricing Model for KOSPI 200 Weekly Options" @default.
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- W4308396768 doi "https://doi.org/10.26845/kjfs.2022.10.51.5.499" @default.
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