Journal of Derivatives and Quantitative Studies: 선물연구: Volume 17 Issue 4 , Open Access

The Pricing and Hedging using the Implied Information Conditioned on Martingale Restriction and Market Efficiency

Moo Sung Kim, Tae Hun Kang

This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market…

Contingent-claim Valuation of a Closed-end Fund: Models and Implications

Chaehwan Won, Sangho Yi

In this paper, we develop various valuation models for closed-end mutual funds under different sets of stochastic processes for the underlying assets. Since we used different…

Information Content of Adjusted Implied Volatility in the KOSPI 200 Index Options Market

Byung Jin Kang, Sohyun Kang, Sun-Joong Yoon

This study examines the forecasting ability of the adjusted implied volatility (AIV), which is suggested by Kang, Kim and Yoon (2009), using the horserace competition with…

Tax Effects on the Basis of KOSPI200 Index Futures

Jong-Moon Oh, Wan-Hee Kim

This paper conducts an empirical analysis to examine the tax effect on the basis (the difference between the futures price and the cash price) of KOSPI200 stock-index futures.The…