DC Field | Value | Language |
---|---|---|
dc.contributor.author | 변석준 | - |
dc.contributor.author | 김솔 | - |
dc.contributor.author | 이동우 | - |
dc.date.accessioned | 2013-03-27T11:32:30Z | - |
dc.date.available | 2013-03-27T11:32:30Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | 재무관련 5개학회 공동학술연구발표회, v., no., pp. - | - |
dc.identifier.uri | http://hdl.handle.net/10203/162123 | - |
dc.description.abstract | The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied volatility from option prices, to overcome the forecasting bias from Black and Scholes (1973) model. Heston (1993)’s model which improves on the problems of Black and Scholes (1973) model the most for pricing and hedging options is one candidate, and VIX which is the expected risk neutral value of realized volatility under the discrete version is the other. This study conducts a comparative analysis on the implied volatility from Black and Scholes (1973) model, that from Heston (1993)’s model, and VIX for the forecasting performance of future volatility. From the empirical analysis on KOSPI200 option market, it is found that Heston (1993)’s implied volatility eliminates the bias mostly which Black and Scholes (1973) implied volatility has. VIX, on the other hand, does not show any improvement for the forecasting performance. | - |
dc.language | ENG | - |
dc.publisher | 한국증권학회 | - |
dc.title | Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model | - |
dc.type | Conference | - |
dc.type.rims | CONF | - |
dc.citation.publicationname | 재무관련 5개학회 공동학술연구발표회 | - |
dc.identifier.conferencecountry | South Korea | - |
dc.identifier.conferencecountry | South Korea | - |
dc.contributor.localauthor | 변석준 | - |
dc.contributor.nonIdAuthor | 김솔 | - |
dc.contributor.nonIdAuthor | 이동우 | - |
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