• Management & Information Systems Review
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• v.35 no.1
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• pp.273-286
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• 2016

This study investigated the information contents of KOSPI200 Options for intraday big market movement by using minute by minute data. The major findings are summarized as follows; First, big market movement occurred more frequently during 9:00~10:00 and 14:00~14:50. These phenomena reflect market unstability just after opening and near closing. Second, VKSOPI is most closely associated with extreme changes such as KOSPI200 jumps. Third, VKOSPI is showed more predictive power with negative KOSPI200 jumps than KOSPI200 jumps. Fourth, VKOSPI showed predictive power for the positive and negative jumps up to 30 minutes before the jumps occurs. The purpose of this study is to explore the most recent topics in the field of finance, research on market microstructure. This study is an important contribution to investigate intraday information comprehensively in terms of market microstructure effects using the 15-year long-term and the high-frequency data(minute by minute). The results of this study are expected to contribute to detect intraday true jumps, proactive development of market risk indicators, risk management, derivatives investment strategy.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.281-291
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• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.