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Keywords: Bootstrapping
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (3): 275–305.
Published: 31 August 2013
... prices of KOSPI200 index futures and options traded in Korea Exchange (KRX) between January of 2001 and January of 2011, during which bootstrapping method is utilized to make a dataset of 100,000 random samples with holding period of 1, 3, 6, and 12 months, respectively. We examine the hedging...
