Journal of Derivatives and Quantitative Studies: 선물연구: Volume 26 Issue 2 , Open Access

The Issues and Improvement Plans of Pricing and Accounting of the Structured Derivatives : The Case of Zero-Coupon Callable Bond

Jeong Phil Yang, Uk Chang, Young Soo Choi

This study aims to deal with the valuation and accounting of complex derivative instruments. This study attempts to propose a convergence plan by presenting a pricing (fair value…

Performance of Option Based Strategy Benchmark Index

Soon Shin Kwon, Byung Jin Kang, Jay M. Chung

This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were…

The Effect of Information Asymmetry and CRA’s Reputation on Bond Yield Spread

Yun Yeong Jung, Rae Soo Park

This paper investigates the effects of information asymmetry and Credit Rating Agency's reputation on bond yield spread, which is caused by the split bond rating of CRAs. For…

A Study on the Fund Flow of Korean Capital Market

Jae-Seung Baek, June Sam Ha, Sang Whi Lee

In this paper, we examine whether fund market reactions are affected by the characteristics of categorized features of fund. To investigate the goal of the paper, we consider…