The purpose of this study is to implement a new method to evaluate the exact prices of options which can make the best fit to option market prices. The price of option depends on many factors in the market especially on the volatility of returns on the underlying asset. As volatility increases, and others do as volatility does. But volatility cannot be measured or seen in the market easily while all of the other factors can be. So, the study on pricing of options can be focused on that returns on the underlying asset.
In this article, a new method to estimate the historical volatility would be implemented based on KOSPI200 stock index options. It is focused on how to think about the returns on underlying asset and how to sampling the series of returns to make the best fitting theoretical option price.
Furthermore, this article suggest a hypothesis of expected future price movement by testing the fitness of new method under a new hypothesis.
