원문정보
초록
영어
This study investigates whether stochastic volatility is priced on KOPSI 200 index options by using the delta-hedged gains on a portfolio of a long position in a call, hedged by a short position in the underlying asset, following Bakshi and Kapadia (2003). Contrary to other financial markets such as the S&P index options market, volatility risk is not systematically and consistently compensated on the KOSPI options. Rather jump fear influences most in determining KOSPI 200 option prices. Our results are consistent with extant literatures which have shown that Korean derivatives market is dominated by directional traders, and so there might be no hedging demands on option trades. In our research, we do not impose any specification on the stochastic processes of the underlying asset, volatility, and jumps, consequently setting our results free from misspecification errors.
목차
1 Introduction
2 Theoretical Background
2.1 Delta-Hedged Gains and Risk Premium
2.2 Risk-Neutral Skewness and Kurtosis as a Proxy of Jump Component
2.3 Testable Implications
3 Data Description
3.1 KOSPI 200 Index Options Market
3.2 Screening Criteria
3.3 The Historical Volatility
4 Empirical Results
4.1 Delta-Hedged Gains and Risk Premium
4.2 Delta-Hedged Gains and Option Vega in the Cross Section
5 The Effects by Jump Fears
5.1 A Proxy of Jump Fears: Risk-Neutral Skewness and Kurtosis[Bakshi, Kapadia, and Madan (2003)]
6 Conclusion
References