Journal of Derivatives and Quantitative Studies: 선물연구: Volume 17 Issue 2 , Open Access
Subjects:
Table of contents
A Simulation Analysis on the Tradeoff Between Cost and Risk in Replicating ELS (Equity-Linked Securities) with Transactions Costs: The Early Redeemable Case
Jun Young Park, Chongseok HyunThe trade-off between cost and risk of discretely rebalanced ELS hedges is analyzed under the proportional transaction costs. The analysis shows that the transaction costs have a…
9
A Study on the Market Price of Weather Risk in Pricing Weather Derivatives
Kwang-Il Bae, Jin Hee ChoungThe weather largely affects economic activity, and thus, companies vulnerable to weather risk need to plan ahead to cope with unexpected weather changes, just as they do for…
51
The Volatility Risk Premium in the KOSPI200 Index Options
Hyoung-Jin ParkThis 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…
4
