Journal of Derivatives and Quantitative Studies: 선물연구: Volume 12 Issue 2 , Open Access

The Effects of Estimation Methods of Stock Price Volatility on VaR

Dam Cho

I perform the backtesting of 10-day VaR's using daily returns of KOSPI 200 from January 1994 to December 1993 (2,692 days). The seven volatility measures are calculated with the…

On the Incompleteness of Korean Stock Index Options Market

Jung Soon Hyun, Byung Kun Rhee

When the Black-Scholes assumptions hold market is instantaneously complete and options are redundant securities. This paper tests whether options are needed for spanning of the…

An Empirical Analysis of the Arbitrage Opportunities in the KOSPI200 Futures and Options Markets

Kee Hong Bae, Su Jae Chang, Jin Wan Cho

We investigate the frequency of arbitrage opportunities and the size of their profits in the options and futures markets of KOSPI200 index. A thread of existing studies shows that…

A Comparative Analysis of Hedging Effectiveness of Won/Dollar Futures and NDF Contracts

Won Cheol Yun, Hyun Jin An

This study compares the hedging effectiveness of domestic won/dollar futures and foreign non-deferable forward (NDF) contracts. We use an ex ante analysis based on out-of-sample…

Estimating and Forecasting the Term Structure of Korea Markets Using the Nelson-Siegel Model

Joon Haeng Lee

This paper estimates and forecasts yield curve of korea bond market using a three factor term structure model based on the Nelson-Siegel model. The Nelson-Siegel model is…

The Valuation of the Electricity Future Contract Under Weather Uncertainty

Shi Yong Yoo

This paper is concerned with the effects of weather uncertainty on the electricity future curve. Following the approach used by Lucia and Schwartz (2002), the behavior of the…

Derivatives Pricing in the Positive Interest Rates

Joon Hee Rhee

This paper examines the pricing of interest rates derivatives such as caps and swaptions in the pricing kernel framework. The underlying state variable is extended to the general…