Journal of Derivatives and Quantitative Studies: 선물연구: Volume 32 Issue 2 , Open Access

American put options with regime-switching volatility

Bong-Gyu Jang, Hyeng Keun Koo

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components…

The relationship between changes in corporate payout policy and capital structure

Songhee Kim, Jaeuk Khil, Yu Kyung Lee

This paper aims to investigate the impact of corporate dividend policy on the capital structure in the Korean stock market. To distinctly discern the voluntariness of changes in…

Does information environment affect information spillover between the CDS and stock markets in Korea?

Heewoo Park, Yuen Jung Park

This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets…

The role of arbitrage risk in the MAX effect: evidence from the Korean stock market

Jihoon Goh, Donghoon Kim

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the…