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Keywords: KOSPI 200 Option
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (3): 323–351.
Published: 31 August 2015
... (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Option Multiplier KOSPI 200 Option Put-Call-Futures Parity Arbitrage Strategy...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 251–280.
Published: 31 August 2011
...Byungwook Choi This study investigates a forecasting power of volatility curvatures and risk neutral densities implicit in KOSPI 200 option prices by analyzing minute by minute historical index option intraday trading data from January of 2007 to January of 2011. We begin by estimating implied...
