JMF  Vol.3 No.2 , May 2013
An Empirical Study of Option Prices under the Hybrid Brownian Motion Model
Abstract: In this paper, we mainly discuss an empirical study of option prices under the hybrid Brownian motion model developed by [1]. In a specific case of parameters, we have a simple transition probability density function that has a fattailed feature as time passes. We show some empirical evidences that the feature of the model reflects the real market price movements in Japanese stock market. Furthermore, we make a performance comparison between the hybrid model and the BS model using Nikkei 225 call options. In general our results show that the hybrid model is slightly better than the BS model.
Cite this paper: H. Iwaki and L. Luo, "An Empirical Study of Option Prices under the Hybrid Brownian Motion Model," Journal of Mathematical Finance, Vol. 3 No. 2, 2013, pp. 329-334. doi: 10.4236/jmf.2013.32033.

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