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The purpose of this study is to examine the impact of the trade-activities in option market on stock market volatility by using KOSPI 200 daily data. First. we divided the option Volume from open interest. then classify the unexpected volume from expected volume to group the trade-activities In option market according to Investor's type. The result of test find that the unexpected volume of call option and the stock volatility have positive relationship. while one of put option and the stock volatility do not have statistically significant relation.

Then. we also divide the option volume Into the classified option volume according to time-maturity. We expect that the informed trader and uninformed trader trade the classified option differently. As a result. in the case of the call ootlon. the trade-activity of the unexpected volume in deep in the money option and deep out 이 the money option has positive relation with the stock volatility. and the at the money option below a month to maturity has positive relation with the stock volatility. This result shows that the informed trader prefer deep in the money option. deep out of the money option and at the money option below a month to maturity among the various option series. But. In the case of put option, it is so hard to find the result of the Informed trader's behavior.

Much debate was brought forth during the South Korean credit card companies' liquidity crisis in 2003. This paper is an in-depth analysis of those credit card issuers' option embedded commercial paper (mentioned as ‘option CP’ henceforth). The main purpose of this paper is in evaluating the ‘option CP's fair value, with the decomposition and analysis on ‘option CP’.

Option CP is stipulated as a CP joined by an OTC credit derivative product. The structure is set so that anyone of the two options, put options and call options, will be executed.

Therefore, the price of option CP excluding the credit option portion will be equal to that of the standard coupon bond at the same maturity.

However, empirical evidence shows otherwise. The evidence clearly states that the option CP yield rates were generally quoted lower than the fair-value rates, even if option premium of credit option portion was included in calculating the value. This evidence has an implication that ‘option CP’s rates are generally issued and traded with unfair value. This paper has significance that it made valuation model of ‘option CP’ and evaluated its fairness, by way of the in-depth analysis of option CP which has not been before.

The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price discovery effect of the original options and the mini options estimated by the vector error correction model (VECM) and Hasbrouck's information share (1995, 2003), based on the regular options-mini options arbitrage and the options-spot arbitrage. The results of the empirical analysis are summarized as follows. First, in the price discovery between the regular options and the mini options, regular options dominate mini options at a statistically significant level. Second, mini options tend to lead the spot, which is stronger than the regular options. Therefore, the regular options and the mini options show asymmetrical behavior in the price discovery process of the spot, opposite to each other and are interpreted as alternative derivatives in terms of investment strategy. Considering the immaturity of mini options market established during the sample period, the price discovery is efficient even though the trading activity in the mini options is lower than that of the regular options.

This study explores the Granger causal relationship between return and volume in the KOSPI200 spot and option markets for the period from December 13. 2002 to December 9. 2004. using minute-by-minute data. Specifically, we examine the lead-lag relationship among OPtion volume, option return, cash volume, and cash return to determine whether option volume and return impact cash return.

Our results show that option volume has no direct impact on cash return as cash return unilaterally leads option volume‘ While option volume impacts cash volume. cash return unilaterally leads cash volume. implying no indirect impact of option volume on cash return.

However, there is evidence that option return impacts cash return directly, given a bilateral causality between option return and casll return. Option return also impacts cash volume, but again cash volume has no impact on cash return. meaning no indirect impact of option return on cash return. Our findings were generally robust across days of the week and different maturities. Finally, we analyzed lead-lag relationship within the option market. and found a bilateral causality between option volume and option return. This implies that option volume may impact cash return indirectly via option return.

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume – with future returns. We find that O/S ratios are positively related to future returns, but P/C ratios have no significant association with returns. We calculate individual, institutional, and foreign investors’ option ratios to determine which ratios are significantly related to future returns and find that, for all investors, higher O/S ratios predict higher future returns. The predictability of P/C depends on the investors: institutional and individual investors’ P/C ratios are not related to returns, but foreign P/C predicts negative next-day returns. For net-buying O/S ratios, institutional net-buying put-to-stock ratios consistently predict negative future returns. Institutions’ buying and selling put ratios also predict returns. In short, institutional put-to-share ratios predict future returns when we use various option ratios, but individual option ratios do not.

Three scenario-based experiments were conducted to explore the influence of the base option’s price format (just-at vs just-below) on tourists’ upgrade intention. The findings of this research indicated that tourists are more inclined to upgrade the option when the base option’s price is presented in a just-at condition due to the mediating role of tourists’ price perceptions of the upgrade option. This study discovered that the just-at (vs just-below) pricing strategy can lower tourists’ price perceptions of the upgrade choice. This research further explored the moderating of tourists’ mindsets. It was found the threshold-crossing effect will disappear for tourists with fixed mindsets. This study also provides practical implications for travel service providers to set up appropriate pricing strategies to attract tourists to make upgrade decisions.

This survey explores the application of real options theory to the field of health economics. The integration of options theory offers a valuable framework to address these challenges, providing insights into healthcare investments, policy analysis and patient care pathways.

This research employs the real options theory, a financial concept, to delve into health economics challenges. Through a systematic approach, three distinct models rooted in this theory are crafted and analyzed. Firstly, the study examines the value of investing in emerging health technology, factoring in future advantages, associated costs and unpredictability. The second model is patient-centric, evaluating the choice between immediate treatment switch and waiting for more clarity, while also weighing the associated risks. Lastly, the research assesses pandemic-related government policies, emphasizing the importance of delaying decisions in the face of uncertainties, thereby promoting data-driven policymaking.

Three different real options models are presented in this study to illustrate their applicability and value in aiding decision-makers. (1) The first evaluates investments in new technology, analyzing future benefits, discount rates and benefit volatility to determine investment value. (2) In the second model, a patient has the option of switching treatments now or waiting for more information before optimally switching treatments. However, waiting has its risks, such as disease progression. By modeling the potential benefits and risks of both options, and factoring in the time value, this model aids doctors and patients in making informed decisions based on a quantified assessment of potential outcomes. (3) The third model concerns pandemic policy: governments can end or prolong lockdowns. While awaiting more data on the virus might lead to economic and societal strain, the model emphasizes the economic value of deferring decisions under uncertainty.

This research provides a quantified perspective on various decisions in healthcare, from investments in new technology to treatment choices for patients to government decisions regarding pandemics. By applying real options theory, stakeholders can make more evidence-driven decisions.

Decisions about patient care pathways and pandemic policies have direct societal implications. For instance, choices regarding the prolongation or ending of lockdowns can lead to economic and societal strain.

The originality of this study lies in its application of real options theory, a concept from finance, to the realm of health economics, offering novel insights and analytical tools for decision-makers in the healthcare sector.

This article discusses static hedges for installment options, which are finding broad application in cases where the option‐buyer may reduce up‐front premium costs via early termination of an option. An installment option is a European option in which the premium, instead of being paid up front, is paid in a series of installments. If all installments are paid, the holder receives the exercise value, but the holder has the right terminate payments on any payment date, in which case the option lapses with no further payments on either side. The authors summarize pricing and risk management concepts for these options, in particular, using static hedges to obtain both no‐arbitrage pricing bounds and very effective hedging strategies with almost no vega risk.

The paper's aim is to investigate the stock option disclosures of directors and the five most highly remunerated officers in the directors' report of Australian companies for the years 2000 and 2002 and the choice to position these disclosures in the notes to the financial statements as opposed to the directors' report.

The study examines the compliance with mandatory disclosures for stock options for companies in the top 400 and also ascertains if there is consistent compliance across all required categories, including sensitive disclosures.

Although compliance is high for most of the required stock option disclosures, 43 of the 153 firms in the sample did not disclose the amount (value) of the options issued. Another 27 of the companies disclosed a “Nil” value for the value of options issued. Most of the companies disclosed the information in the directors' report, with larger companies and companies in the finance industry more likely to disclose in the notes to the financial statements, where the information is less visible.

The results indicate that companies were secretive about the most sensitive of the required disclosures, the amount (value) of the options issued. Regulators and researchers need to be cautious in conducting compliance studies as although companies appear to be transparent in their disclosures about stock options for directors, closer examination reveals secrecy about sensitive components of the required disclosures.

The executive stock option (ESO) valuation model developed in this research amends the popular exchange traded option pricing models such as Black and Scholes (1973), Whaley (1981), and Cox, Ross, and Rubinstein (1979) to include economic features of the ESO contract that previously have been ignored. One of these features is the non‐transferability of the ESO, which creates a situation where the ESO might be exercised when an otherwise identical exchange traded option would not. Another feature is the hybrid nature of the ESO; it is not solely either an American option or a European option. The results of the comparative statics indicate that the impact of the non‐transferability of the ESO value is significant, whereas the hybrid feature of the ESO results in values that are very similar to American option values. The economic implication is that if an American or European option model is used to value ESO's, the probability is very high that a wealth transfer between management and shareholders will occur.