Journal of Derivatives and Quantitative Studies: 선물연구: Volume 12 Issue 1 , Open Access

Korean Treasury Bond Futures Pricing Model

Youngsoo Choi, Se Jin O, Jae Yeong Seo

This paper proposes two alternative methods which are used for pricing the theoretical value of the KTB futures on the non-traded underlying asset; first method is to use the CKLS…

Convexity Analysis of Option Embedded Bonds

Seung Hyeon O

Interest rate risk hedge strategies usually assume that term structure of interest rates in moving under a specific way. If a real term structure is moving differently from the…

The Feasibility of the Steel Futures Contract and the Impacts of Steel Industry

Hyeon U Choe

Lunching futures market for steel has been regard as one of the most urgent issues in steel industry and futures exchanges. It is followed after chairman of IISI executive…

Volatility Smile Surface for Levy Option Pricing Model

Jun Hui Lee, Kook Hyun Chang

This paper discusses theoretical extensions of the implied volatility method of Dupire (1994) when the stock prices follow the Geometric Levy process. For the extensions of…

An Alternative Futures Hedge for Minor Currencies

Myeong Sig Choe

In a world of trade among nations using different currencies, every exchange of goods, services, or assets taking place between economic actors of different nations requires an…