Sol Kim

Hankuk University of Foreign Studies

270 Imun-dong Dongdaemun-gu

Seoul, 130-791

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

5

DOWNLOADS

83

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Lead-Lag Relationship between Returns and Implied Moments: Evidence from KOSPI 200 Intra-Day Options Data

Number of pages: 25 Posted: 25 Sep 2015 Last Revised: 11 Jan 2016
Sol Kim and Geul Lee
Hankuk University of Foreign Studies and Coinplug, Inc.
Downloads 83 (398,567)

Abstract:

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Lead-lag relationship, implied risk-neutral density, skewness, kurtosis

2.

Pricing and Hedging Options with Rollover Parameters

Journal of Risk, Forthcoming
Posted: 19 May 2017
Sol Kim
Hankuk University of Foreign Studies

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options pricing, volatility smile, trader rules, stochastic volatility, jumps

3.

Delta-Hedged Gains and Risk-Neutral Moments

Journal of Risk, Forthcoming
Number of pages: 29 Posted: 08 Nov 2016
Da-Hea Kim and Sol Kim
Sungkyunkwan University and Hankuk University of Foreign Studies
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delta-hedged gains, skewness, kurtosis, Standard and Poor’s (S&P) index options, risk-neutral moments

4.

Are Traders’ Rules Useful for Pricing Options? Evidence from Intraday Data

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 22 Posted: 09 Jun 2016
Sol Kim
Hankuk University of Foreign Studies
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option pricing models, intraday data, Black–Scholes model

5.

Effects of Macroeconomic News Announcements on Risk-Neutral Distribution: Evidence from KOSPI200 Intraday Options Data

Asia-Pacific Journal of Financial Studies, Vol. 40, Issue 3, pp. 403-432, 2011
Posted: 10 Jan 2014
Sol Kim and Geul Lee
Hankuk University of Foreign Studies and Coinplug, Inc.

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Macroeconomic news, KOSPI200 index options, Risk-neutral distribution, Skewness, Kurtosis