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Keywords: Volatility Risk Premium
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (4): 411–434.
Published: 30 November 2013
... a long position in ZBS on the KOSPI 200 index options, as in most other markets. Even though these negative excess returns are not strongly significant, but they are found to be closely related to the volatility risk premium. © 2013 Emerald Publishing Limited 2013 This article is published under...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (2): 67–86.
Published: 31 May 2009
...Hyoung-Jin Park This study examines whether the volatility risk premium is reflected on the prices of the KOSPI200 index options. By applying the empirical method of Bakshi and Kapadia (2003), we analyze the performance of delta-hedging strategy in the KOSPI200 index market. They showed...
