Journal of Derivatives and Quantitative Studies: 선물연구: Volume 14 Issue 1 , Open Access

Analysis on the Characteristics and Fair Value of “Option CP”

Seung Yeon Won

Much debate was brought forth during the South Korean credit card companies' liquidity crisis in 2003. This paper is an in-depth analysis of those credit card issuers' option…

Estimation of the Size of the Settlement Fund of the Korean Securities and Derivatives Markets Utilizing Stress Tests

Yu Kyung Kim

The Korean securities and derivatives markets, which offer such internationally renowned products as KOSPI 200 futures and options, along with proliferation of such derivative…

Optimal Indirect Hedging and Price Conditions

Hee Ho Kim, 김미 화

This study examines the indirect hedging strategy and its price ccndition against exchange risk for the export firms which can not directly hedge due to non-existence of…

Arbitrage Profitability of the KOSPI200 Futures Spread

Jae Ha Lee, Sun Chan Kwon

This study explores the arbitrage profitability of the KOSPI200 futures spread, using intraday data during 10 days prior to the expiration day of each contract for the 9/3/2001 �…

Investigation for Synthetic Collateralized Debt Obligation

Mi Ae Kim

Recently, domestic market participants have a growing interest in synthetic Collateralized Debt Obligation (CDO) as a security to reduce credit risk and create new profit…