scholarly journals Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market

2016 ◽  
Vol 06 (02) ◽  
pp. 151-165 ◽  
Author(s):  
Shivam Singh ◽  
Alok Dixit
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Options Market ◽  
Index Options ◽  
Volatility Model

The Estimation of Pricing Kernel of KOSPI 200 Options Under Stochastic Volatility

2007 ◽  
Vol 15 (1) ◽  
pp. 135-165
Author(s):  
Sang Il Han ◽  
Chang Hyun Yun
Keyword(s):  
Normal Distribution ◽  
Stochastic Volatility ◽  
Trading Volume ◽  
Implied Volatility ◽  
Stochastic Volatility Model ◽  
Options Market ◽  
Negative Number ◽  
Pricing Kernel ◽  
Underlying Asset ◽  
Volatility Model

In this paper we make an analysis of KOSPI 200 index options listed in Korea Stock and Futures Exchange whose trading volume is world best these days. We adopt the stochastic volatility model suggested by Heston (1993) for the dynamics of the underlying asset and use EMM to estimate the parameters of option pricing kernel. The SNP distribution of the implied volatility contains AR (2) and ARCH effects, and the skewness of the distribution is much higher than normal distribution. The distribution has thinner left tail and fatter right tail than normal distribution, which is opposite to the case of S&P 500 options market. The result of estimation shows that Implied volatility series of KOSPI 200 options have weak mean reverting property and are almost nonstationary. The correlation coefficient between the implied volatility and returns is estimated to have negligible negative number. These features are also opposite to the case of S&P 500 options market where implied volatility is reported to have strong mean reversion, and the correlation between the implied VIatilIty and retturns is reported to have large negative number.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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