Journal of Derivatives and Quantitative Studies: 선물연구: Volume 19 Issue 1 , Open Access

The Dynamic Behavior of Foreign Exchange Rates with Stochastic Volatility and Jump Diffusion Models-Evidences from KRW/USD Spot and Option Markets

In Seok Baek, Byung Jin Kang

This paper assesses the empirical performances of the continuous-time models, including constant volatility (Black and Scholes, 1973), stochastic volatility (Heston, 1993), and…

Price Discovery and Transmission Mechanism between CDS and FX markets

Hong Bae Kim, Sang Hoon Kang

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis.A…

Information Contents in the Volatility Spread of Index Options

Sol Kim, Geul Lee

This article examines the information contents in the implied volatility spread between the KOSPI200 at-the-money puts and calls with the same strike price and maturity. Using…

Style Analysis and Its Application of Domestic Mutual Funds

Bong Chan Kho, Uk Chang, Youngsoo Choi

We illustrate empirically the use of return-based style analysis for domestic stock funds. We search the optimal style model according to the tracking errors, investigate the…