한국시스템다이내믹스연구 (Korean System Dynamics Review)
- 제13권2호
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- Pages.5-23
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- 2012
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- 1229-8085(pISSN)
현물, 선도, 옵션 시장 간의 동태적 관계에 대한 시스템 사고적 접근
Systems Thinking Approach to the Dynamic Relationship between Cash Market, Forward Market, and Options Market
초록
This paper studies dynamic relationship between cash market, forward market, and options market, from the perspective of systems thinking. It is shown that an exogenous shock to forward market can yield almost the same impact to the cash market, given a practically reasonable condition, but not vice versa. As far as options market is concerned, it matters what kind of options we deal with, who are long the option, and whether the option market maker performs dynamic hedging or not. In some cases, it is possible for the spot price to become unstable and diverge rather violently due to a strong negative feedback between the markets.
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