Journal of Derivatives and Quantitative Studies: 선물연구: Volume 21 Issue 4 , Open Access

Complexity, Knowledge Asymmetry, and Monopolistic Competition The Case of Retail Structured Product Market

Won-Suk Liu, Young-Min Choi

This paper introduces a monopolistic competition model containing retail investors with imperfect knowledge and issuers offering complex structured products. The model, for which…

Global Diversification and Hedging by High Technology Firms

Young Sang Kim

This paper examines the operational hedging strategies of high technology firms and how they are related to financial hedging. We use a sample of 216 firms, consisting of 108…

Determinants of the Index Straddle Returns

Byung Jin Kang

This paper investigates ATM zero-beta straddle (i.e., ZBS) returns, one of the most widely used volatility trading strategies, and then examines the determinants of them. First…

The Variance Swaps based on KOSPI200 Index and the Term Structure of Variance Risk Premium

Young Ho Eom, Woon Wook Jang

This study examines whether the variance risk is a priced risk factor in Korea using the over-the-counter variance swap quotes and realized variance data. We also study the term…