...Sol Kim This study investigates the optimal option pricing model for the KOSPI 200 options market, where market conditions and investor composition have evolved markedly. We compare the pricing and hedging performances of the Black–Scholes (1973) model (BS), ad hoc Black–Scholes (AHBS) models...

... to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode KOSPI 200 Options Black-Scholes Model Heston Model Ad Hoc Black-Scholes Model Out-of-Sample Pricing ...

... estimating call-put options open interest value ratio, we use Chen, Lung, and Tay (2005, 2009) models. The sample period covers from January 5, 1998 to December 28, 2006 with the closing price returns of KOSPI 200 Index and the open interest of the KOSPI 200 options. We use statistical methodology...