Comparison of stochastic volatility models: Empirical study on kospi 200 index options

Kyoung Sook Moon, Jung Yon Seon, In Suk Wee, Choongseok Yoon

Research output: Contribution to journalArticle

1 Citation (Scopus)


We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

Original languageEnglish
Pages (from-to)209-227
Number of pages19
JournalBulletin of the Korean Mathematical Society
Issue number2
Publication statusPublished - 2009 Mar 1



  • Correlated Stein-Stein model
  • Heston model
  • KOSPI 200 index option
  • Option pricing
  • Stochastic volatility model

ASJC Scopus subject areas

  • Mathematics(all)

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