2004
DOI: 10.1016/s0927-538x(03)00042-8
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Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market

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Cited by 63 publications
(46 citation statements)
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“…Ad hoc procedure can be an alternative to the complicated models for pricing options. On the other hand, Kirgiz (2001) and Kim and Kim (2004) show that ad hoc procedure does not show better performance than other sophisticated option pricing models. Why are reported results inconsistent?…”
Section: Sol Kim*mentioning
confidence: 99%
“…Ad hoc procedure can be an alternative to the complicated models for pricing options. On the other hand, Kirgiz (2001) and Kim and Kim (2004) show that ad hoc procedure does not show better performance than other sophisticated option pricing models. Why are reported results inconsistent?…”
Section: Sol Kim*mentioning
confidence: 99%
“…Hull and White (1987), Heston (1993), Danielsson (1994), Kim et al (1998) and many others have studied the stochastic volatility models. Among the few empirical studies that adopted stochastic models are Bakshi et al (1997), Sarwar and Krehbiel (2000), Kim and Kim (2004) and Sharp et al (2010).…”
Section: Realised Volatilitymentioning
confidence: 99%
“…We acknowledge that using the potentially non-synchronous data may yield noisier results and weaken the conclusions of the analysis. On the other hand, the noise caused by nonsynchronous data has not been shown to be systematic, and studies that eliminate the problem still show the presence of the pricing biases (see Rubinstein, 1985;Bakshi et al, 1997;Lam et al, 2002;Lehar et al, 2002;Kim and Kim, 2004).…”
Section: Data Descriptionmentioning
confidence: 99%
“…For pricing KOSPI 200 index options, Kim and Kim [10] examined four different classes of stochastic volatility models including GARCH model, Variance Gamma model, and Heston model. They found that the Heston model outperforms the other models for in-sample pricing, out-of-sample pricing, and hedging.…”
Section: Introductionmentioning
confidence: 99%