지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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There are many approaches to treat volatilities. Among them, we adopt a stochastic volatility model, especially, the Stochastic Alpha Beta Rho (SABR) model. In this work we have two directions: to evaluate option prices, and to provide volatility properties. For the option pricing we have two steps: parameter calibration for SABR model and option pricing based on the calibration.
We adopt the KOSPI200 option’s implied volatility to calibrate SABR parameters for the market data. Based on the calibration, we try to compute the option prices.
To evaluate the prices, there are two well-known methodologies: Monte Carlo simulation and finite difference method (FDM). We figure out fair value of European option, Barrier option, and Equity Linked Securities (ELS) under SABR model using both methods. Furthermore, we draw the loss probability density functions of ELS for each used models.
By using the parameters obtained by calibration and the implied volatility formula under the SABR model, we provide several quantitative properties of volatility by drawing volatility skew, term structure and surface.
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참고문헌 (7)
참고문헌 신청
Derman, E. / 1994 / Riding on a smile / RISK :32~39
Dupire, B. / 1994 / Pricing with a smile / RISK :18~20
Hagan, P. / 2002 / Managing Smile Risk / Wilmott Magazine :84~108
Heston, S.L. / 1992 / A closed-form solution for options with stochastic volatility with applications to bond and currency options / Rev of Fin Studies 6(1993):327~343
Hull J. / 1987 / The pricing of options on assets with stochastic volatilities / J. of Finance 42:281~300
Dupire, B. / 1994 / Pricing with a smile / RISK :18~20
Hagan, P. / 2002 / Managing Smile Risk / Wilmott Magazine :84~108
Heston, S.L. / 1992 / A closed-form solution for options with stochastic volatility with applications to bond and currency options / Rev of Fin Studies 6(1993):327~343
Hull J. / 1987 / The pricing of options on assets with stochastic volatilities / J. of Finance 42:281~300
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