DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 김동석 | - |
dc.contributor.advisor | Kim, Tong-Suk | - |
dc.contributor.author | 이종원 | - |
dc.contributor.author | Lee, Jong-Won | - |
dc.date.accessioned | 2011-12-27T01:41:37Z | - |
dc.date.available | 2011-12-27T01:41:37Z | - |
dc.date.issued | 2008 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=297351&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/52723 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 경영공학전공, 2008.2, [ iv, 57 p. ] | - |
dc.description.abstract | This study uses the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley(2004) to examine the implied volatilities across five different moneyness categories of KOSPI200 index options. The results show that the hypothesis does hold in the KOSPI200 options market but in different ways. Because there are several different characteristics, a new hypothesis has to be needed to explain the options market. Although Bollen and Whaley(2004) say that ‘limits to arbitrage hypothesis’ can be verified in US options market, we find that ‘(direction) learning hypothesis’ can well describe the Korean options market. In addition to that, we do the spread test to verify that net buying pressure can directly explain the volatility smile phenomenon. To sum up, we can conclude that net buying pressure which is from trading imbalance affect the implied volatility in newly developed KOSPI200 index options markets, and make the volatility smile phenomenon. | kor |
dc.language | kor | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Net Buying Pressure | - |
dc.subject | Volatility smile | - |
dc.subject | 순매수압력 | - |
dc.title | KOSPI200 지수 옵션시장에서 순매수압력이 내재변동성에 미치는 영향에 관한 연구 | - |
dc.title.alternative | A study on the effect of net buying pressure to the implied volatility in KOSPI200 options market | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 297351/325007 | - |
dc.description.department | 한국과학기술원 : 경영공학전공, | - |
dc.identifier.uid | 020063442 | - |
dc.contributor.localauthor | 김동석 | - |
dc.contributor.localauthor | Kim, Tong-Suk | - |
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