퍼지이론에 근거한 옵션가격결정모형의 실증적 고찰

This paper examines the improvement in the price forecasting of KOSPI 200 index options by using Qin and Li (2007)’s model (QL). Qin and Li (2007) formulated the european option pricing formula for fuzzy financial market which may be regarded as the fuzzy counterpart of Black and Scholes (1973) option pricing formula (BS). To investigate the usefulness of QL, the forecasting performance of QL are compared with those of BS and ad hoc approach of BS (AHBS) in which implied volatility are smoothed across strike prices. The option’s parameters are inferred by using the information implied in option market prices and (or) historical information from the underlying asset returns. And to make the concrete results, forecasting performance of the models are compared by looking at pricing errors into multiple forecasting periods and analysis of the determinants of the forecasting difference across models are examined based on underlying and option related effects on option pricing. It is found that QL based on fuzzy theory in which the option’s parameters are inferred by using the information implied in option market prices outperforms the other models in terms of effectiveness for in-sample pricing and out-of-sample pricing. Although this relative usefulness of QL remained unchanged regardless of the moneyness, maturity and type of options, QL is more relevant for the decision marking using call options. Summarizing all findings, QL is found to be a recommended option pricing model in KOSPI 200 index option market.