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

2005; Wiley; Volume: 25; Issue: 10 Linguagem: Inglês

10.1002/fut.20175

1096-9934

In Joon Kim, Sol Kim,

Financial Markets and Investment Strategies

Journal of Futures MarketsVolume 25, Issue 10 p. 989-1009 Research Article Is it important to consider the jump component for pricing and hedging short-term options? In Joon Kim, In Joon Kim Korea Advanced Institute of Science and TechnologySearch for more papers by this authorSol Kim, Corresponding Author Sol Kim [email protected] SAMSUNG SDS Co. Ltd., Seoul, KoreaSAMSUNG SDS, 707-19, Yoksam-2Dong, Gangnam-Gu, Seoul, KoreaSearch for more papers by this author In Joon Kim, In Joon Kim Korea Advanced Institute of Science and TechnologySearch for more papers by this authorSol Kim, Corresponding Author Sol Kim [email protected] SAMSUNG SDS Co. Ltd., Seoul, KoreaSAMSUNG SDS, 707-19, Yoksam-2Dong, Gangnam-Gu, Seoul, KoreaSearch for more papers by this author First published: 18 August 2005 https://doi.org/10.1002/fut.20175Citations: 25AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Abstract 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. 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