| Roll-Over Parameters and Option Pricing |
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Sol Kim |
| 옵션 평가 모형의 모수 롤오버 효과 |
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김솔 |
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| Abstract |
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For S&P 500 options, we examine the pricing and hedging performance of several options pricing models with respect to the roll-over strategies of parameters. The traditional rollover strategy of the parameters, the Nearest-to-Next approach, and those using the new roll-over strategy, the Next-to-Next approach are compared. It is found that the Next-to-Next roll-over strategy can decrease pricing and hedging errors of all options pricing models and mitigate the over-fitting problems. The “absolute smile” traders’ rule has the advantage of simplicity and is the best model for pricing and hedging options. |
| Key Words:
Black-Scholes Model,Jumps,S&, P 500 옵션,S&, P 500 Options,Stochastic Volatility,Black-Scholes 모형,Ad Hoc Black-Scholes Model,Ad Hoc Black-Scholes 모형,확률 변동성 모형,점프모형 |
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