Journal of Derivatives and Quantitative Studies: 선물연구: Volume 13 Issue 1 , Open Access

Trading Performance of Domestic and Foreign Investors in KOSPI200 Index Futures Markets

Bong-Chan Kho, Jin-Woo Kim

We analyze trading performance of domestic and foreign investors in the KOSPI200 index futures markets in Korea over various holding periods from each transaction time to 20…

The Effect of Futures Trading on Spot Market Liquidity

Ki Yool Ohk

This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly…

An Efficient Numerical Integration Method for Basket Option Pricing

Hosam Ki, Junhwa Ban

In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is…

An Empirical Analysis on Trading strategy of KTB and KTF Using the Two Factors CIR Term Structure Model

Tong Suk Kim, Yun Keun Lee, Jung-Soon Hyun

The term structure of KTB (Korea Treasury Bond) is empirically implemented and forecasted by the extended 2-factor CIR model. Pearson and Sun model. MLE is applied to estimate…

The KOSPI200 Index Option Trading Behavior and Performance of Individual Investors

Jay M. Chung, Jae Keun Kim

We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS…