Research Article
Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model
Table 5
KOSPI 200 index call option price on 29 July 2016 with respect to the strike and maturity.
| | | 245.0 | 247.5 | 250.0 | 252.5 | 255.0 | 257.5 | 260.0 | 262.5 |
| | | 7.34 | 5.29 | 3.39 | 1.93 | 0.92 | 0.37 | 0.11 | 0.04 | | | 8.85 | 6.90 | 5.28 | 3.82 | 2.56 | 1.70 | 1.05 | 0.62 | | | 9.34 | 8.41 | 6.95 | 4.72 | 4.24 | 3.21 | 2.36 | 1.74 |
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