Journal of Derivatives and Quantitative Studies: 선물연구: Volume 10 Issue 2 , Open Access

Pricing KTB Futures: An Application of Black-Karasinski Model

Jang Gu Kang, Jeong Jin Lee

Traditionally, people values KTB futures contracts using the model based on the cost-of-carry argument. However, the underlying commodity for the KTB futures is non-tradable, and…

Hedging Strategies with the KTB Futures

Jae Ha Lee, Han Deog Hui

This study explores hedging strategies that use the KTB futures to hedge the price risk of the KTB spot portfolio. The study establishes the price sensitivity, risk-minimization…

Intraday Price Change and Trading Volume in the KTB Futures and Futures Option Markets

Bong Chan Go, Jin U Kim

This study examines the impacts of the KTB futures options, newly introduced at the Korea Futures Exchange (KOFEX) on May, 2002, on the intraday volatility and liquidity of the…

Long memory in the volatility of Korean stock returns

Ji Hyeon Lee, Dong Seog Kim, Hoe Gyeong Lee

In this paper, we empirically examine the volatility process of Korean stock market returns using the KOSPI200. To investigate the property of the process, we use the FIGARCH…

Intraday Volatility and Volatility spill-over Effects in KTB and Won/Dollar Futures Markets

Chang Hyeon Yun, Tae Geun Jo, Sang Il Han

We analyze the dynamic behavior of the volatility of KTB futures price through GARCH models. In conducting this analysis we use two type data. Using dailly data we analyze the…