날짜: 6월 5일(수) 17:00~17:50 5E102
연사: 신동훈(인하대)
제목: Psychological Barriers and Option Pricing
초록:
Psychological barriers are prevalent among various asset classes and it is important to
consider their impacts on the prices of derivative securities. This paper shows the potential
existence of such barriers on the S&P 500 Index and examines their impacts on the rate
of return and the volatility of the index. It focuses on deriving analytic European option
prices under the assumption that the dynamics of the stock price follow a threshold model;
this paper also evaluates this model's empirical performance in comparison with the Black-
Scholes model and the constant elasticity of variance (CEV) model. The in-sample calibration
result of the threshold model is found to be much superior. Furthermore it is found that the
model provides an e_cient hedging method in terms of dollar-value hedging errors.