Journal of the Korean Society for Industrial and Applied Mathematics
- Volume 7 Issue 2
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- Pages.13-22
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- 2003
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- 1226-9433(pISSN)
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- 1229-0645(eISSN)
SIMULATIONS IN OPTION PRICING MODELS APPLIED TO KOSPI200
- Lee, Jon-U (Department of Mathematics Sungkyunkwan University) ;
- Kim, Se-Ki (Department of Mathematics Sungkyunkwan University)
- Published : 2003.12.25
Abstract
Simulations on the nonlinear partial differential equation derived from Black-Scholes equation with transaction costs are performed. These numerical experiments using finite element methods are applied to KOSPI200 in 2002 and the option prices obtained with transaction costs are closer to the real prices in market than the prices used in Korea Stock Exchange.