...Byung Jin Kang This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps...

...Young Ho Eom; Woon Wook Jang This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However...

... Volatility spread Put-call Parity Information Contents KOSPI200 KOSPI200 Index Options ...