정규혼합모형의 오차를 갖는 GARCH 모형을 이용한 옵션가격결정에 대한 실증연구 = A numerical study on option pricing based on GARCH models with normal mixture errors

국문 초록 (Abstract)

The option pricing of Black와 Scholes (1973) and Merton (1973) has been widely reported to fail to reflect the time varying volatility of financial time series in many real applications. For example, Duan (1995) proposed GARCH option pricing method through Monte Carlo simulation. However, financial time series is known to follow a fat-tailed and leptokurtic probability distribution, which is not explained by Duan (1995). In this paper, in order to overcome such defects, we proposed the option pricing method based on GARCH models with normal mixture errors. According to the analysis of KOSPI200 option price data, the option pricing based on GARCH models with normal mixture errors outperformed the option pricing based on GARCH models with normal errors in the unstable period with high volatility.

참고문헌 (Reference)

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