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..
Original language | English |
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Pages (from-to) | 177-196 |
Number of pages | 20 |
Journal | Asia-Pacific Journal of Financial Studies |
Volume | 35 |
Issue number | 2 |
Publication status | Published - 2006 |
Keywords
- Black-Scholes model
- Esscher transform
- Hyperbolic model
- Option price
ASJC Scopus subject areas
- Finance