연구동향 분석

KOSPI 200 지수옵션가격에 내재된 Hurst지수

강태훈 이상식 2015년

논문상세정보
인용/피인용
' KOSPI 200 지수옵션가격에 내재된 Hurst지수' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • rostek(2009) 모형
  • 기하분수브라운운동
  • 내재 hurst 지수
  • 평균회귀.
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
4 0

0.0%

' KOSPI 200 지수옵션가격에 내재된 Hurst지수' 의 참고문헌

  • 한국옵션시장에서 거래의 정보효과에 관한 실증분석
    박형진 Journal of The Korean Data Analysis Society 10 (1) : 321 ~ 335 [2008]
  • 한국옵션시장에서 거래의 정보효과에 관한 실증분석
    박형진 Journal of The Korean Data Analysis Society 10 1 321-335 [2008]
  • 옵션내재변동성의 정보효과에 관한 실증연구
    김태우 이장우 Journal of The Korean Data Analysis Society 7 (5) : 1801 ~ 1823 [2005]
  • 옵션내재변동성의 정보효과에 관한 실증연구
    김태우 Journal of The Korean Data Analysis Society 7 5 1801-1823 [2005]
  • 옵션 내재변동성의 변화에 따른 거래행태의 변화에 관한 연구
    이장우 Journal of The Korean Data Analysis Society 8 (2) : 697 ~ 709 [2006]
  • 옵션 내재변동성의 변화에 따른 거래행태의 변화에 관한 연구
    이장우 Journal of The Korean Data Analysis Society 8 2 697-709 [2006]
  • 분수브라운운동을 가정한 옵션가격결정모형의 유용성에 관한 연구
    강태훈 이명철 Journal of The Korean Data Analysis Society 17 (1) : 229 ~ 241 [2015]
  • 분수브라운운동을 가정한 옵션가격결정모형의 유용성에 관한 연구
    강태훈 Journal of The Korean Data Analysis Society 17 1 229-241 [2015]
  • 기초자산의 자기상관을 고려한 옵션가격결정모형의 성과
    김솔 金融工學硏究 9 (3) : 1 ~ 17 [2010]
  • 기초자산의 자기상관을 고려한 옵션가격결정모형의 성과
    김솔 金融工學硏究 9 3 1-17 [2010]
  • Variance risk premiums
    Carr, P. Review of Financial Studies 22 (3) : 1311 ~ 1341 [2009]
  • Variance risk premiums
    Carr, P. Review of Financial Studies 22 3 1311-1341 [2009]
  • Transform analysis and asset pricing for affine jump-diffusions
    Duffie, D. Econometrica 68 (6) : 1343 ~ 1376 [2000]
  • Transform analysis and asset pricing for affine jump-diffusions
    Duffie, D. Econometrica 68 6 1343-1376 [2000]
  • The variation of some other speculative prices
    Mandelbrot, B. Journal of Business 40 (4) : 393 ~ 413 [1967]
  • The variation of some other speculative prices
    Mandelbrot, B. Journal of Business 40 4 393-413 [1967]
  • The variation of certain speculative prices
    Mandelbrot, B. Journal of Business 36 (4) : 394 ~ 419 [1963]
  • The variation of certain speculative prices
    Mandelbrot, B. Journal of Business 36 4 394-419 [1963]
  • The valuation of european options when asset returns are autocorrelated
    Liao, S. L. Journal of Futures Markets 26 1 85-102 [2006]
  • The valuation of European options when asset returns are autocorrelated
    Liao, S. L. Journal of Futures Markets 26 (1) : 85 ~ 102 [2006]
  • The role of stochastic volatility and return jumps: reproducing volatility and higher moments in equity returns dynamics
    Kim, I. J. Review of Quantitative Finance and Accounting 29 (1) : 69 ~ 110 [2007]
  • The role of stochastic volatility and return jumps: reproducing volatility and higher moments in equity returns dynamics
    Kim, I. J. Review of Quantitative Finance and Accounting 29 1 69-110 [2007]
  • The pricing of options on assets with stochastic volatilities
    Hull, J. Journal of Finance 42 (2) : 281 ~ 300 [1987]
  • The pricing of options on assets with stochastic volatilities
    Hull, J. Journal of Finance 42 2 281-300 [1987]
  • The pricing of options and corporate liabilities
    Black, F. Journal of Political Economy 81 (3) : 637 ~ 654 [1973]
  • The pricing of options and corporate liabilities
    Black, F. Journal of Political Economy 81 3 637-654 [1973]
  • The lead-lag relationship between stock index options and the stock index market
    Kim, S. International Journal of Managerial Finance 5 (3) : 311 ~ 332 [2009]
  • The lead-lag relationship between stock index options and the stock index market
    Kim, S. International Journal of Managerial Finance 5 3 311-332 [2009]
  • The impact of jumps in volatility and returns
    Eraker, B. Journal of Finance 58 (3) : 1269 ~ 1300 [2003]
  • The impact of jumps in volatility and returns
    Eraker, B. Journal of Finance 58 3 1269-1300 [2003]
  • The behavior of stock-market prices
    Fama, E. F. Journal of Business 38 1 34-105 [1965]
  • The Behavior of Stock-Market Prices
    Fama, E. F. Journal of Business 38 (1) : 34 ~ 105 [1965]
  • Stock price distributions with stochastic volatility : an analytic approach
    Stein, E. M. Review of Financial Studies 4 (4) : 727 ~ 752 [1991]
  • Stock price distributions with stochastic volatility : an analytic approach
    Stein, E. M. Review of Financial Studies 4 4 727-752 [1991]
  • Risk preference based option pricing in a fractional Brownian market
    Rostek, S. Lecture Notes in Economics and Mathematical Systems 622 [2009]
  • Risk preference based option pricing in a fractional Brownian market
    Rostek, S. Lecture Notes in Economics and Mathematical Systems 622 - [2009]
  • Returns to buying winners and selling losers : implications for stock market efficiency
    Jegadeesh, N. Journal of Finance 48 1 65-91 [1993]
  • Returns to buying winners and selling losers : Implications for stock market efficiency
    Jegadeesh, N. Journal of Finance 48 (1) : 65 ~ 91 [1993]
  • Rational theory of warrant pricing
    Samuelson, P. Industrial Management Review 6 (2) : 13 ~ 32 [1965]
  • Rational theory of warrant pricing
    Samuelson, P. Industrial Management Review 6 2 13-32 [1965]
  • Profitability of momentum strategies : an evaluation of alternative explanations
    Jegadeesh, N. Journal of Finance 56 (2) : 699 ~ 720 [2001]
  • Profitability of momentum strategies : an evaluation of alternative explanations
    Jegadeesh, N. Journal of Finance 56 2 699-720 [2001]
  • Option pricing when the variance changes randomly : theory, estimation, and an application
    Scott, L. O. Journal of Financial and Quantitative Analysis 22 4 419-438 [1987]
  • Option pricing in a fractional Brownian motion environment
    Necula, C. Pure Mathematics 2 (1) : 63 ~ 68 [2002]
  • Option pricing in a fractional Brownian motion environment
    Necula, C. Pure Mathematics 2 1 63-68 [2002]
  • Option Pricing with Extreme Events: Using Câmara and Heston(2008)’s Model
    김솔 Asia-Pacific Journal of Financial Studies 38 (2) : 187 ~ 209 [2009]
  • Option Pricing with Extreme Events: Using Câmara and Heston(2008)’s Model
    김솔 Asia-Pacific Journal of Financial Studies 38 2 187-209 [2009]
  • Option Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application
    Scott, L. O. Journal of Financial and Quantitative Analysis 22 (4) : 419 ~ 438 [1987]
  • On the usefulness of implied risk-neutral distributions-evidence from the Korean KOSPI 200 index options market
    Kim, I. J. Journal of Risk 6 (1) : 93 ~ 110 [2003]
  • On the usefulness of implied risk-neutral distributions-evidence from the Korean KOSPI 200 index options market
    Kim, I. J. Journal of Risk 6 1 93-110 [2003]
  • On some properties of fractional Brownian motions
    Valkelia, E. Proceedings of Steklov Mathematical Institute [1999]
  • On some properties of fractional Brownian motions
    Valkelia, E. - [1999]
  • Mosaic organization of DNA nucleotides
    Peng, C. K. Physical Review E: Statistical, Nonlinear, and Soft Matter Physics 49 (2) : 1685 ~ 1694 [1994]
  • Mosaic organization of DNA nucleotides
    Peng, C. K. Physical Review E: Statistical, Nonlinear, and Soft Matter Physics 49 2 1685-1694 [1994]
  • KOSPI200 현물, 선물 및 옵션시장의 시장 미시구조에 관한 시계열연구
    김태혁 Journal of The Korean Data Analysis Society 15 (6) : 3383 ~ 3396 [2013]
  • KOSPI200 현물, 선물 및 옵션시장의 시장 미시구조에 관한 시계열연구
    김태혁 Journal of The Korean Data Analysis Society 15 6 3383-3396 [2013]
  • KOSPI200 일중 점프에 대한 변동성지수의 정보효과
    김태혁 정대성 Journal of The Korean Data Analysis Society 16 (4) : 2011 ~ 2020 [2014]
  • KOSPI200 일중 점프에 대한 변동성지수의 정보효과
    정대성 Journal of The Korean Data Analysis Society 16 4 2011-2020 [2014]
  • Is it important to consider the jump component for pricing and hedging short-term options?
    Kim, I. J. Journal of Futures Markets 25 (10) : 989 ~ 1009 [2005]
  • Is it important to consider the jump component for pricing and hedging short-term options?
    Kim, I. J. Journal of Futures Markets 25 10 989-1009 [2005]
  • Implied hurst exponent and fractional implied volatility: a variance term structure model
    Li, K. Q. [2014]
  • Implied hurst exponent and fractional implied volatility: a variance term structure model
    Li, K. Q. - [2014]
  • Further evidence on investor overreaction and stock market seasonality
    DeBondt, F. M. Journal of Finance 42 (3) : 557 ~ 581 [1987]
  • Further evidence on investor overreaction and stock market seasonality
    DeBondt, F. M. Journal of Finance 42 3 557-581 [1987]
  • Fractional white noise calculus and applications to finance, Infinite Dimensional Analysis
    Hu, Y. Quantum Probability and Related Topics 6 (1) : 1 ~ 32 [2003]
  • Fractional white noise calculus and applications to finance, Infinite Dimensional Analysis
    Hu, Y. Quantum Probability and Related Topics 6 1 1-32 [2003]
  • Fractional Brownian motions, fractional noises and applications
    Mandelbrot, B. B. Society for Industrial and Applied Mathematics 10 (4) : 422 ~ 437 [1968]
  • Fractional Brownian motions, fractional noises and applications
    Mandelbrot, B. B. Society for Industrial and Applied Mathematics 10 4 422-437 [1968]
  • Empirical comparison of alternative stochastic volatility option pricing models : evidence from Korean KOSPI 200 index options market
    Kim, I. J. Pacific Basin Finance Journal 12 (2) : 117 ~ 142 [2004]
  • Empirical comparison of alternative stochastic volatility option pricing models : evidence from Korean KOSPI 200 index options market
    Kim, I. J. Pacific Basin Finance Journal 12 2 117-142 [2004]
  • Efficient capital markets : a review of theory and empirical work
    Fama, E. F. Journal of Finance 25 2 383-417 [1970]
  • Efficient capital markets : A review of theory and empirical work
    Fama, E. F. Journal of Finance 25 (2) : 383 ~ 417 [1970]
  • Does the stock market overreact?
    DeBondt, F. M. Journal of Finance 40 (3) : 793 ~ 805 [1985]
  • Does the stock market overreact?
    DeBondt, F. M. Journal of Finance 40 3 793-805 [1985]
  • An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives market
    Nam, S. O. International Review of Financial Analysis 15 (4) : 398 ~ 414 [2006]
  • An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives market
    Nam, S. O. International Review of Financial Analysis 15 4 398-414 [2006]
  • A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    Newey, W. Econometrica 55 (3) : 703 ~ 708 [1987]
  • A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    Newey, W. Econometrica 55 3 703-708 [1987]
  • A general fractional white noise theory and applications to finance
    Elliott, R. J. Mathematical Finance 13 (2) : 301 ~ 330 [2003]
  • A general fractional white noise theory and applications to finance
    Elliott, R. J. Mathematical Finance 13 2 301-330 [2003]
  • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    Heston, S. L. Review of Financial Studies 6 (2) : 327 ~ 343 [1993]
  • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    Heston, S. L. Review of Financial Studies 6 2 327-343 [1993]