In this paper, we obtain the Good-Deal bound by Cochrane and Saa-Requejo(2000) in Korean options market, and test the usefulness of it. The bounds assume that investors would want to buy assets with high Sharpe ratio -"good deals"- as well as pure arbitrage opportunities. We calculate bounds in one-period, multiperiod with and without the assumption of log-normality of stock return. Without log-normality, we use kernel density estimation method to estimate real distribution of basis assets. From the empirical test results, the Good-Deal bounds in Korean options market are somewhat useful in options trading but not obviously.
