𝔖 Bobbio Scriptorium

✦ LIBER ✦

Is it important to consider the jump component for pricing and hedging short-term options?

✍ Scribed by In Joon Kim; Sol Kim

Publisher: John Wiley and Sons
Year: 2005
Tongue: English
Weight: 155 KB
Volume: 25
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20175

No coin nor oath required. For personal study only.

✦ Synopsis

The usefulness of the jump component for pricing and hedging short-term options is studied for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that jumps have only a marginal effect and stochastic volatility is of the most importance. There is evidence of jumps in the underlying index but no evidence of jumps in the corresponding index options. However, these results may not be valid for individual equity options.

📜 SIMILAR VOLUMES

Committee reports. Report on patent law

Committee reports. Report on patent law revision**The evidence in support of the Preambles and Resolutions and suggested additions to the copyright, patent and trade-mark laws contained in the first part of our report was not published in the May Journal owing to want of space. I am now sending you the remaining part of the report, by request, as it is considered quite necessary for the members of the Association to have in their hands before the next annual meeting, the entire document for consideration and study. It is believed that this will decidedly facilitate matters and save much time at the annual meeting which otherwise might be used up in unnecessary discussion of the subject.Your Committee wishes to again emphasize that fact that we have no desire to impose our personal views on the Association. The copyright and patent laws were designed to promote progress in science and the useful arts and the trade-mark laws to protect the public from fraud and imposition. It is generally conceded that the laws as now interpreted and applied fall short in accomplishing their purpose. It is therefore incumbent upon the A. Ph. A., representing the pharmacists of America, to suggest proper modifications of the law, of such kind as to secure the very important objects for which they were enacted.—F. E. Stewarcth, Chairman.

📂 Article 📅 1917 🏛 Elsevier ⚖ 359 KB 👁 1 views