내재위험시장가격을 이용한 마팅게일제약검증과 가격동학특성

This paper empirically investigates some properties by all one-dimensional Markov option models by testing the martingale restrictions using the market price of risk implied in the KOSPI 200 index options and attributes the volatility smile to the market price of risk. Because the implied market price of risk can be inferred from only one option contract, we can test not only the redundancy assumption between underlying market and option market but also the no-arbitrage restriction of the cross-sectional option prices. We find that the market price of risk implied in the KOSPI 200 index option are significantly different from those calculated from KOSPI 200 index. And the implied market price of risk when mapped against inverse moneyness for call options had a tendency to frown, while the implied market price of risk for put options had a tendency to smile. Regression results showed that the concave frown for the call and the convex smile for the put are general relationships. Also, the results suggest that the implied volatility smiles are an artifact of the market price of risk. Since, under the risk-neutrality assumption, the market price of risk is not explicitly considered in the pricing of tradeable options, any non risk-neutral behavior reflected in market prices may only be captured by the volatility, thus causing smile. Therefore options are not redundant securities, nor monotonically increasing (decreasing) in the underlying asset price and also option prices are not perfectly correlated with each other and with the underlying asset.