This paper studies on volatility asymmetry phenomenon in financialcrisis. EGARCH model and NGARCH model are employed to capturevolatility asymmetry in order to make comparison between pre-crisis period and post-crisis period. Empirical analysis on S&P 500 stock index shows volatility asymmetry phenomenon is more pronounced in post-crisis period. Since volatility asymmetry phenomenon has implication for option pricing, we employ Heston Nandi option pricing model which incorporates volatility asymmetry to price the options in pre-crisis period and in year 2008 when financial crisis is the most severe. Empirical analysis on S&P 500 index options shows that for in-the-money options in pre-crisis period and for all kinds of options in year 2008, mispricing error is too big to make the model useful. We explain the reasons for the failure of the model and further provide some methods to improve the performance of the model in post-crisis period. Based on our findings, we explore some implications for solvency capital requirement, asset allocation and assetvaluation of pension funds and insurance companies.