COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS

DOI10.4134/BKMS.2009.46.2.209zbMath1158.91386OpenAlexW2114490650MaRDI QIDQ3623428

In-Suk Wee, Jung-Yon Seon, Kyoung-Sook Moon

Publication date: 20 April 2009

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/bkms.2009.46.2.209

zbMATH Keywords

option pricingHeston modelstochastic volatility modelKOSPI 200 index optioncorrelated Stein-Stein model

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Economic time series analysis (91B84)

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