Journal of Derivatives and Quantitative Studies: 선물연구: Volume 16 Issue 1 , Open Access
Table of contents
Skewness of Kurtosis?: Using Corrado and Su (1996)‘s Model
Sol KimFor the KOSPI 200 index options market. we examine the power of influence on pricing options of the skewness and the kurtosis of the risk neutral distribution. We compare the…
Fractal Interest Rate Model without Ito Formula
Joon Hee RheeEmpirical findings on interest rate dynamics imply that short rates show some long memories and non-Markovian. It is well-known that fractional Brownian motion (IBm) is a proper…
Empirical Analysis on the Effectiveness of Complex hedging: The Case of Bituminous Coal Trading
Won Cheol YunThis study suggests a complex hedge model for coal traders that simultaneously consider the risk factors of coal price. ocean freight rate and foreign exchange rate. In addition…
Valuation for a Preemptive Right on the Private House for Lease in Korea Using the Binomial Option Pricing Model
Sung Tak KimThis paper investigates the value for a preemptive right on the private houses for lease in Korea which were supplied at Pankyo and Heoungduk Area in February 2006 and May…
