Journal of Derivatives and Quantitative Studies: 선물연구: Volume 19 Issue 2 , Open Access

The Information Content of Extreme Events Implied in the Non-complete Market

Moo Sung Kim, Tae Hun Kang

This paper empirically investigates the usefulness of extreme events implied into the non-complete option market in which return generating process of underlying asset is…

Spot Trading Volume Volatility, Futures Trading Volume Volatility, and the Volatility of Korean Stock Market

Kook Hyun Chang, Byung Jo Yoon

This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of…

A Priching Model for Inflation-indexed Bonds

Sang Su Kim

This paper derives the theoretical price of nominal bonds and inflation-indexed bonds through extracting the factors, which are assumed that their stochastic property follows the…

Information Content of Implied Volatilities in KRW/USD Currency Option Markets

Byung Jin Kang

This paper investigate the information content of implied volatilities derived from KRW/USD OTC currency options. First, we examined the explanatory power of implied volatilities…