Journal of Derivatives and Quantitative Studies: 선물연구: Volume 15 Issue 2 , Open Access

An Efficient Numerical Method for Pricing Levy Option Models : With Variance Gamma Process

Bon Il Ku, Young Ho Eom, Woon Wook Jang

We study an efficient numerical method for pricing European options when the dynamics of the underlying asset are described by Levy processes. In this case. we can write a…

Information Contents of Call-Put Options Trading Value Ratio

Sol Kim

This paper investigates the lead-lag relationship between the call-put options trading value ratio and the KOSPI 200 returns using Chen, Lung, and Tay (2005, 2006)’s model. We…

A Study on the Return Dynamics using the Implied Information

Moo Sung Kim, Tae Hun Kang

This article empirically analyzes some properties by all one-dimensional diffusion option models by using the martingale restriction test and examines the systematic risk factors…

The Profitability of Technical Trading Rules in the KOSPI200 Futures Market

Cheol Ho Park

This article investigates the profitability of technical trading rules in the KOSPI200 futures market from 1997 through 2006 after accounting for transaction costs, risk. and…

Lead-Lag Relationship between Return and Volume in the KOSPI200 Spot and Option Markets

Jae Ha Lee, Deok Hee Hahn

This study explores the Granger causal relationship between return and volume in the KOSPI200 spot and option markets for the period from December 13. 2002 to December 9. 2004…