Journal of Derivatives and Quantitative Studies: 선물연구: Volume 22 Issue 1 , Open Access
Table of contents
The Derivation of Invariance Principle and its Application to Financial Economics
Sang Il HanThe invariance principle known as the functional central limit theorem is the fundamental knowledge for understanding the convergence of a Markov chain to a diffusion process and…
Trading Strategy for Stock Index Futures Based on Disposition Effect
Seung Hyun Oh, Sang Buhm HahnGrinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of…
Laeding and Following Variance Risk Premiums: Evidence from S&P500 and KOSPI200 Options
Sun-Joong Yoon, Jun Sik KimThis study aims to examine the return predictability of variance risk premium, which is defined as the difference between risk-neutral variance and expected realized variance, on…
Risk Margin Calculation for Lapse Risk in Guaranteed Minimum Accumulation Benefit of Variable Annuities-A Market-Consistent Approach
Yongjae Kwon, Myungho Park, Jeongsun YunIn 2002, variable annuities were introduced in South Korea and have shown enormous success since then. They are life-insurance products with investment guarantees. Variable…
Volatility and Trading Volumes of Trader Types in KOSPI200 Index, Futures, and Options Markets
Shiyong YooIn this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in…
Measuring the Toxicity of Order Flow using High Frequency Data: The Case of KOSPI200 Index Futures
Ki Yool Ohk, Ming WuThis study presents a new informed trading probability measure VPIN (Volume-Synchronized Probability of Informed Trading) to estimate toxic order flow of KOSPI200 index futures in…
Financial Crisis, Put-Call Parity and Momentum Effect
Suhkyong KimThis study investigates the deviation from put-call parity in the KOSPI200 options market. The sample period is from January 2, 2006 to May 31, 2009. Due to the financial crisis…
