Journal of Derivatives and Quantitative Studies: 선물연구: Volume 16 Issue 2 , Open Access
Table of contents
Implied Risk Preferences from Option Prices: Evidence from KOSPI 200 Index Options
Byung Jin Kang, Tong Suk Kim, Sun Joong YoonIn this paper, we investigated the risk averse ness of KOSPI 200 option investors with very flexible risk preference structure. Contrary to the most of previous research either…
According to Time-moneyness in Option Market on Stock Price Volatility
Ki Yool Ohk, Woo Ae JangThe purpose of this study is to examine the impact of the trade-activities in option market on stock market volatility by using KOSPI 200 daily data. First. we divided the option…
An Empirical Research on the Informational Efficiency of Model Free Implied Volatility
Byung Kun Rhee, Sang Won HwangBlack-Scholes Imolied volatility (8SIV) has a few drawbacks. One is that the model Is not much successful in fitting the option prices. and It Is n야 guaranteed the model is…
Futures and Option Prices After the Stock Market Close: Evidence from the Korean Markets
Jae Ha Lee, Sang Soo KwonIn the KOSPI2oo futures and option markets. additional fifteen minutes (15 : 00∼15 개5) after the underlying stock market close are given tor the adjustments of the futures and…
Measuring Informational Advantage of A Group of Investors
Seung Hyun OhThis study interprets various theories of volume of stock markets in a unified DOint of view and classifies the theories into 4 categories: risk premium theory, adverse selection…
