Earticle

2010년 말 다수의 키코관련 1심 판결이 나왔고 대부분이 패소하였다. 이는 우리가 예상하지 못한 바이고 인도와 같은 나라에서도 은행에 불리한 조정이 나와 우리나라와 커다란 차이를 보이고 있으며, 결과적으로 키코에 관한 우리나라의 법률적 판단이 상당히 왜곡되어 있음을 알 수 있다. KIKO는 계약구조에 본질적인 하자를 포함하고 있다. 은행은 하자있는 상품의 판매를 위해 공짜상품(제로코스트)이라고 선전하였지만 실제로는 아무 설명도 없이 이 비용을 옵션가격에 포함시켰으며, 기초가격의 변동성을 작게 정하는 방법으로 옵션의 행사가격을 과도하게 부풀리고, 더욱이 계약기간을 손익분기선인 1년을 초과한 2-3년으로 정해 은행의 이익을 극대화한 점에서 KIKO는 불공정계약, 사기계약, 착오에 의한 취소가능한 계약에 모두 해당하고, 불완전한 판매행위로 손해배상책임을 져야 할 것이다. 이러한 상황에서 향후 중소기업이 유사한 사례에 반복하여 직면할 위험이 있으므로 중소기업 보호차원에서 유념할 사항을 정리해 보기로 한다. (1) 중소기업이 이해하기 어려운 복잡한 금융상품을 이용하지 말 것이며, 특히 (2) 장외거래상품의 가입에 매우 조심할 필요가 있고, (3) 불가피하게 가입하는 경우라도 최대한 단기로 체결하고, (4) 구체적으로 회계장부를 기준으로 해서는 수출액의 50%만 가입하고, (5) 정관으로 헤지거래 이외의 파생상품(투기)거래는 할 수 없도록 하여 기업 차원에서 법률적 차단막을 설치하고, (6) 부담이 과도한 때에는 기업회생을 신청하여 기업의 존속을 도모하는 것이 유리할 수 있다.

In 2010, companies were cast in the first trial of KIKO. When we compare Korean with India case, this is an unexpected outcome and irrational conclusion. KIKO has fundamental defects in structure. First, Selling Banks deceived joined companies saying that I will not receive any price. It means Zero-Cost. But they received sales costs without any explanations, inflate striking price of option and increase the term to 2-3 years injustice. KIKO is a sort of compound or exotic option. In principle currency options use to minimize the floating exchange rate in exporting companies and individuals. But KIKO was not working to do this, would rather damaged to the buyer. Furthermore buyer can not perceived this faculties in making contract. Not to notify faculties is negligence of the seller, a bank with which buyer has an account. Most of complex derivatives like KIKO have many problems, and so to have too much portion of derivatives brings about bad results. The fact that KIKO is a void contract leads to the liability of seller bank.

In recent years, financial industry has been growing rapidly. Especially the various products cause by financial engineering has been the major phenomenon of the development of financial market. If we call standard options, first generation options, then non-standard options can be called second generation options. Second generation options are exotic option. Option pricing method which used in this study were Closed-form formular assumed the log - normal price distribution and model followed underlying asset price distribution. In this study, Closed-form formular and Binomial model were programed by Excel Basic As a result of analysis. Binomial model is very convenient or speedy in exotic option which have special payoff pattern pricing.

본 연구의 목적은 오피스텔 개발에 따른 현금흐름 할인모형(DCF, Discounted Cash Flow)과 실물옵션 (Real Option)비교를 통해 가치평가 결과의 차이가 얼마나 나타나는가와 2개의 모형 중에 어떠한 모형이 가치평 가에 적합한지를 파악하는 것이다. 오피스텔 개발 사례는 서울 중구지역에 지하 5층 지상 14층 규모로 사업기간 총 3년의 부지면적 2,815㎡, 576세대이다. 토지매입비는 416억원, 건축비용은 507억원, 대출 이자율 6%, 현가할인 율은 3.72%였다. 자기자본비용을 구하기 위해서는 CAPM모형을 활용하였다. DCF법으로 사업 평가 결과, 사업성 이 있는 것으로 나타났다. NPV로 계산하면, 218억원 이익이 발생하는 것으로 나타났다. 미래의 불확실성을 반영 하는 실물옵션으로 사업 평가를 한 결과, 확장된 순현재가치(ENPV)는 263억원으로, 기존 순현재가치(NPV)의 이 익이 더 많았다. 결과적으로 DCF법과 리얼옵션은 장단점이 있지만, 부동산과 같이 경기변동이 심한 업종은 변동 성 변수를 통해 도출된 실물옵션이 더 사업성 분석에 적합함이 밝혀졌다.

The purpose of this study is to compare the DCF model and Real Option according to the development of officetel, how much difference is there in the valuation result? And, it is to figure out which of the two models is suitable for valuation. The case of officetel development is 5 stories below the ground and 14 stories above the ground in Jung-gu, Seoul. The land purchase cost was 41.6 billion won, the construction cost was 50.7 billion won, the loan interest rate was 6%, and the present discount rate was 3.72%. The CAPM model was used to calculate the cost of equity capital. As a result of the project evaluation using the discounted cash flow method, it was found to be feasible. Calculated by NPV, a profit of KRW 21.8 billion was found. As a result of project evaluation with real options that reflect future uncertainty, the expanded net present value (ENPV) was 26.3 billion won. The original net present value (NPV) was more profitable. As a result, DCF and real options have advantages and disadvantages, but In the case of industries with large economic fluctuations such as real estate, real options derived through volatility variables are more suitable for business feasibility analysis.

Current approaches to regulating osteoarthritis primarily focus on symptom management; however, these methods often have significant side effects and may not be suitable for long-term care. As an alternative to conventional treatments, injecting stem cells into knee joint cartilage is a promising option for repairing damaged cartilage. In this review, we outline the general procedure for stem cell treatment of knee joint cartilage regeneration, emphasizing the potential of intra-articular stem cell injections as a therapeutic option for osteoarthritis. We examined and summarized patient evaluation and preparation for knee joint stem cell therapy, stem cell harvesting, stem cell preparation, injection procedures for stem cell therapy, post-injection care and monitoring, potential outcomes of stem cell therapy, and considerations and risks associated with stem cell therapy. Overall, stem cell injections for knee joint cartilage damage represent a promising frontier in orthopedic care. They offer potential benefits such as pain and inflammation reduction, promotion of cartilage repair and regeneration, and the possibility of avoiding more invasive treatments such as knee surgery. Ongoing collaboration among researchers, clinicians, and regulatory organizations is crucial for advancing this field and translating scientific discoveries into effective clinical applications.

This paper newly focuses on an unexplored dimension of fund managers’ timing ability; marketwide tail risk implied by information in option market. We investigate whether hedge fund managers can strategically time market tail risk implied by option through adjusting their portfolios’ market exposure to changes of market tail risk. Using an extensive sample of 6147 equity-oriented hedge funds from 1996 to 2012, we find strong evidence of tail risk timing ability of hedge fund managers. We conduct bootstrap analysis and confirm that our tail risk timing ability is not attributed to pure luck. Furthermore, tail risk timing ability brings a significant economic value to investors. Specifically, in out-of-sample tests, top-ranked hedge funds outperform bottom-ranked funds by 5-7% annually after adjusting common risk factors. Also, we find that managers’ tail risk timing skill persists over time, suggesting that hedge fund managers’ tail risk timing ability reflects true managerial skill. Our overall results are robust to various hedge fund characteristics, subsample or sub-period analysis, the use of alternative timing abilities, and other hedge funds’ managerial skills. All the empirical examination emphasizes the role of market-wide option-implied tail risk in hedge fund managers’ skill and their performance.

This study sheds light on the role of option-implied investor sentiment in the credit default swap (CDS) market. Due to the limits to arbitrage caused by credit or counterparty risk and margin requirements, CDS spreads may deviate from fundamentals under the influence of sentiment-driven investors who possess excessively bearish or bullish perceptions to the market or to the firms. We derive several systematic and firm-specific sentiment measures from index options and individual stock options, respectively, and we investigate their impacts on CDS spreads. The sentiment influence is significant, even after controlling the fundamental variables, and is more pronounced for lower-rated CDS obligors during a turbulent period, which is consistent with the limits to arbitrage theory.

This paper constructs an equilibrium model of option-implied preferences with model uncertainty. Our theoretical model shows that an investor with model uncertainty has a higher level of risk aversion than an investor without model uncertainty, which is helpful in explaining the equity premium puzzle. Using the detection-error probabil- ity, we estimate the option-implied uncertainty aversion. Empirical ¯ndings show that the estimated option-implied risk aversion with model uncertainty is larger than that without model uncertainty. With the higher level of uncertainty aversion, the empirical uncertainty premium shows the steeper smirk pattern across the wealth, which looks very similar to the smirk pattern of the implied volatility of S&P 500 index options.

For the KOSPI 200 Index options, we examine the effect of extreme events for pricing options. We compare Black and Scholes(1973) model with Câmara and Heston(2008)’s options pricing model that allows for both big downward and upward jumps. It is found that Câmara and Heston(2008)’s extreme events option pricing models shows better performance than Black and Scholes(1973) model for both in-sample and out-of-sample pricing. Also downward jumps are more important factor for pricing stock index options than upward jumps. It is consistent with the empirical evidence that reports the sneers or negative skews in the stock index options market.

In this paper, we examine whether greater option-trading activity (volume and open interest) is associated with greater stock market volatility using a regime-switching GARCH model. We first partition KOPSI 200 option volume and open interest into expected, unexpected, and moving average components to highlight how differently stock market volatility is related to forecastable optiontrading activity and unexpected (informed) option volume. Next, we classify option-trading activity based on moneyness to study how each class is related to stock market volatility. Further, we partition stock market into volatile and stable regimes to investigate how informed option traders react differently in the option market according to the state of the stock market. Empirical results show that informed traders prefer to highly leveraged option in volatile market, while they prefer to relatively less leveraged options in stable market.

We compare quantum Monte Carlo with classic Monte Carlo methods in pricing vanilla options. The quantum Monte Carlo method was performed on a quantum computer using amplitude estimation, an algorithm that provides excellent convergence rates. We find that quantum simulations can achieve stability in computing price and sensitivity. Furthermore, the quantum Monte Carlo method is superior to classical ones in convergence speed and stability.

Psychological barriers are prevalent among various asset classes and it is important to consider their impacts on the prices of derivative securities. This paper shows the potential existence of such barriers on the S&P 500 Index and examines their impacts on the rate of return and the volatility of the index. It focuses on deriving analytic European option prices under the assumption that the dynamics of the stock price follow a threshold model; this paper also evaluates this model’s empirical performance in comparison with the Black- Scholes model and the constant elasticity of variance (CEV) model. The in-sample calibration result of the threshold model is found to be much superior. Furthermore it is found that the model provides an efficient hedging method in terms of dollar-value hedging errors.

This study examines the empirical performance of three model-based option valuation approaches in the KOSPI200 options market. We evaluate the in-sample pricing, out-of-sample pricing and hedging performance of the approaches based on the specification of option pricing models directly (a pricing model-based approach), on the pricing kernels implied by the option pricing models (an implied pricing kernel-based approach), and on parametric pricing kernels which are independently structured to have their own explicit functional forms (a parametric pricing kernel-based approach). Two option pricing models, a GARCH option pricing model and a Black-Scholes (BS) option pricing model, and their implied pricing kernels are analyzed and two parametric pricing kernel specifications suggested by Rosenberg and Engle (2002) are compared in a unified framework which extends the GARCH process of Duan (1995) to reflect the dynamics of asymmetric volatility. We find that the empirical performance of the approaches related to the GARCH and Black-Scholes option pricing models is moderately improved when we estimate the structural parameters using options data (options-based estimation) compared to the model performances when estimating the parameters using only a time-series of underlying returns data (underlying returns-based estimation). With the estimates under the underlying returns-based estimation, the pricing modelbased option valuation approach outperforms the implied pricing kernel-based option valuation approach for both the GARCH and BS option pricing models. However, with the estimates under the options-based estimation, this relationship is reversed in pricing OTM options in the case of the GARCH option pricing model. Although the BS option pricing model is generally the worst performer with the estimates under the underlying returns-based estimation, it yields better performance for pricing ITM options and similar performance for hedging compared to the GARCH option pricing model with the estimates under the options-based estimation. The option valuation approach based on the parametric pricing kernel of which functional form is a Chebyshev polynomial performs best out of all approaches and methods considered in this study

In this study, the pricing performances of alternative simple option models are examined by creating a simulated market environment in which asset prices evolve according to a stochastic volatility process. To do this, option prices fully consistent with Heston[9]'s model are generated. Assuming this prices as market prices, the trading positions utilizing the Black-Scholes[4] model, a semi-parametric Corrado-Su[7] model and an ad-hoc modified Black-Scholes model are evaluated with respect to the true option prices obtained from Heston's stochastic volatility model. The simulation results suggest that both the Corrado-Su model and the modified Black-Scholes model perform well in this simulated world substantially reducing the biases of the Black-Scholes model arising from stochastic volatility. Surprisingly, however, the improvements of the modified Black-Scholes model over the Black-Scholes model are much higher than those of the Corrado-Su model.

This paper examines the effect of analyst stock recommendations on equity option market activity in US over the 1996 to 2002 period. I find that the implied volatilities of recommended stocks gradually increase up to the recommendation revision date and stay at the increased level after the revision, especially following downgrades. This pattern, however, seems to reflect changes in the past realized volatilities more than ex post future realized volatilities, indicating that option market may be overreacting to recommendation revisions. A delta hedged trading strategy that shorts call options on recommendation revision date yields significant positive profits before transaction costs, supporting the overreaction hypothesis. Analysis of cumulative returns and abnormal trading volume prior to the revision further suggests that there is more information trading in option market than in stock market.

This paper examines the source of the predictive power of option-implied skewness (OIS) for future stock returns. Given that informed investors prefer to trade in the options market and it takes time for the information contained in the option prices to get incorporated into stock prices, OIS can predict future stock returns. We hypothesize that the predictive power of OIS stems from a delayed response of stock prices to information observable in the options market, and document evidence in support. In particular, we find that the relation between OIS and future stock returns is stronger among stocks that are more costly to shortsell. Higher shorting costs are presumed to deter stock prices from reflecting the information embedded in OIS, resulting in a stronger positive relation between OIS and stock returns. Moreover, we reveal that the predictive power of OIS is more prominent and persistent during high-sentiment periods. It also supports that stock mispricing is associated with the positive OIS-return relation, considering that high sentiment produces overpricing more so than low sentiment produces underpricing.

본 논문은 Black-Scholes 옵션모형, Modified Black-Scholes 옵션모형 및 추계적 변동성 모형의 헤지 성과를 시뮬레이션으로 분석한다. 시뮬레이션의 장점은 실험자가 주가운동에 관한 완전한 정보를 가지 고 실험환경에 관한 강력한 통제가 가능하다는 점에 있다. 이 연구에서는 주가 운동이 Heston (1993)의 추계적 변동성 모형이 가정하는 것과 동일한 과정을 따르는 것으로 가정했다. 그 결과 Heston 모형은 완전히 적격한 모형이 된다. 따라서 이 연구의 시뮬레이션은 옵션의 헤지성과가 모형의 적격성의 정도 에 어느 정도로 영향을 받는지에 관한 문제를 보다 정확하게 검토할 수 있게 한다. 시뮬레이션 결과 완전히 적격한 추계적 변동성 모형은 Black-Scholes 모형이나 Modified Black-Scholes 모형에 비해 더 나은 헤지성과를 보였다. 추계적 변동성 모형의 상대적 헤지성과는 만기 가 긴 옵션의 경우 좀 더 두드러졌다. 그러나 옵션거래가 집중되어 있는 만기가 짧은 옵션의 경우 Black-Scholes 모형이나 Modified Black-Scholes 모형의 성과는 추계적 변동성 모형와 크게 다르지 않은 수준으로 나타났다. 이는 수많은 옵션모형이 개발되었음에도 불구하고 시장참여자들이 여전히 Black-Scholes 모형이나 Black-Scholes 모형에 기초한 단순한 옵션모형을 선호하는지에 대한 부분적인 설명을 제공한다.

In this study, Mote carlo simulation is conducted to examine the hedging performances of the Black-Scholes model, the modified Black-Scholes model, and Heston's stochastic volatility model. The merit of the simulation is that an experimenter has a perfect knowledge of the true processes and hold a strict control for the experimental environment. The examination of hedging performances of alternative option models through simulation, therefore, enables us to have an insight for the degree of importance of model specification in option hedging. Creating an environment where stock prices evolve according to a stochastic volatility process exactly specified by Heston (1993) model, this study examines to what extent misspecified models such as the Black-Scholes model and its modifed one approximate the hedging performance of the fully specified Heston model.

In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black-Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.