For the KOSPI 200 Index options, we examine the effect of extreme events for pricing options. We compare Black and Scholes(1973) model with Camara and Heston(2008)’s options pricing model that allows for both big downward and upward jumps. It is found that Camara and Heston(2008)’s extreme events option pricing models shows better performance than Black and Scholes(1973) model for both in-sample and out-of-sample pricing. Also downward jumps are more important factor for pricing stock index options than upward jumps. It is consistent with the empirical evidence that reports the sneers or negative skews in the stock index options market.