Journal of Derivatives and Quantitative Studies: 선물연구: Volume 21 Issue 1 , Open Access

Analysis on the Hedging Effectiveness of KIKO Currency Options

Byungwook Choi

This article explores the hedging effectiveness of KIKO options by using the mean-variance analysis of Markowitz and by comparing three hedge measures such as Sharpe hedging…

Currency Crises and Exchange Rate Exposure

Jin-Wan Cho, AiLian Bian, Kyung-In Park

While undergoing currency crises, countries under fixed exchange rate regime elect to adopt flexible exchange rate regime. It is generally expected that if a country launches…

Underpricing of Index Futures prices, Prospect Theory and Intraday Momentum

Suhkyong Kim

We investigate intraday data for KOSPI 200 index and KOSPI 200 index futures. Hourly theoretical futures prices are calculated based on cost of carry model. we compare hourly…

Information Flow between Stock Skew and Options Risk Neutral Skew: Evidence from KOSPI200 Options

Sol Kim, Hye-Hyun Park, Ki-Jung Eom

This paper investigates the effects of risk neutral distribution (RND) from option prices on the distribution of the underlying asset. More specifically, we focus on the third…