Journal of Derivatives and Quantitative Studies: 선물연구: Volume 24 Issue 1 , Open Access

Price and Volume Effects Associated with ELW Issuance in Korea

Bong-Chan Kho, Jin-Woo Kim

The option pricing model of Black and Scholes (1973) shows that an option contract is redundant in a complete market as it can be completely replicated by its underlying assets…

The Impact of Structural Breaks on Volatility Linkages between Asian Stock and Oil Futures Markets

Sang Hoon Kang, Seong-Min Yoon

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and…

The Determinants of the KOSPI200 Index Option Returns

Byung Jin Kang

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and…

Over-Implied Models from CO2 Emission Allowance Futures Option Market

Da Hea Kim, Tai-Yong Roh, Suk Joon Byun, Jung Soon Hyun

This study examines the empirical performance of emission allowance option pricing models, concentrating on the EU-ETS markets. For option pricing, we use parameters estimated…

Realized Skewness and the Return Predictability

Myounghwa Sim

We explore the cross-section of realized variance, skewness, and kurtosis for stock returns obtained from intraday data. We investigate the properties of the realized higher…

The Spot Price Discovery of Put-call Ratio of KOSPI200 Nighttime Options

Woo-baik Lee

Trading of KOSPI200 options on Eurex launched in 2010 starts at 17:00 after market and closes at 05:00 in the next morning. This paper attempts to examine the role of put-call…