서지주요정보
KOSP200 주가지수 옵션시장에서의 변동성 거래 유용성에 관한 연구 = A study on the effectiveness of volatility trading strategy in the KOSPI200 options market
서명 / 저자 KOSP200 주가지수 옵션시장에서의 변동성 거래 유용성에 관한 연구 = A study on the effectiveness of volatility trading strategy in the KOSPI200 options market / 황규철.
발행사항 [대전 : 한국과학기술원, 2000].
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8011307

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 00093

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9006381

소장위치/청구기호

서울 학위논문 서가

MGSM 00093 c. 2

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리뷰정보

초록정보

The purpose of this thesis is to determine whether or not Straddle Trading, which is the typical method of volatility trading, is a meaningful profit-loss structure in the KOSPI200 market through two simulations of Straddle Trading, the GARCH (1,1) and Implied Volatility methods. First, the result of the GARCH (1,1) method is as follows: Verification of data Time Series for the 5-year Sample Period (2 October 1993 ~ 30 September 1998) through the Unit Root Test proved to be non-stationary. After data that is transferred to the yield rate of the stock price index proved stationary, the GARCH (1,1) model is estimated as the result of ARCH LM shows heteroscedasticity. Out of the Sample Period (1 October 1998 ~ 30 September 1999), volatility is forecast by GARCH (1,1) model and substituting the result for the Black-Scholes and Hull-White Option Pricing Model to draw option theoretical prices. The Wald test on the two theoretical prices showed neither of them is an unbiased estimate to the option market price. From the result of the straddle test on the pre-determined trade rules using the option theoretical price, investment by two option pricing model excluding irregular days proved not to be economical after taking transaction cost into account. Second, the result of Straddle Trading using 10-day, 30-day historical volatility and implied volatility is as follows: Implied volatility used Trading Volume-Weighted Volatility of the nearest ATM (At-the-Money) Call and Put Option Implied Volatility. Comparisons of implied volatility with 10-day and 30-day historical volatility are used for the Straddle Trading. As a result, in case trade breaks within 7-day maturity with high volatility, Straddle Trading realized some profit. Transaction costs being considered, however, this strategy was also judged not to be economically useful.

서지기타정보

서지기타정보
청구기호 {MGSM 00093
형태사항 iii, 59 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Kyu-Cheol Hwang
지도교수의 한글표기 : 김인준
지도교수의 영문표기 : In-Joon Kim
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 42-45
주제 스트래들 거래
1차 일반화된 자기회귀형 조건부 분산모형실적평가
내재 변동성
Straddle trading
GARCH (1,1)model
Implied volatility
Mutual funds
Hedge funds
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