Geul Lee

NH Finance Research Institute

Associate Researcher

16 Saemunan-ro

Jung-gu

Seoul, 04516

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 45,698

SSRN RANKINGS

Top 45,698

in Total Papers Downloads

891

CITATIONS

3

Scholarly Papers (5)

1.

Informed Trading of Out-of-the-Money Options and Market Efficiency

Number of pages: 51 Posted: 05 Jul 2016 Last Revised: 25 Nov 2018
Chang Mo Kang, Donghyun Kim and Geul Lee
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and NH Finance Research Institute
Downloads 698 (35,635)

Abstract:

Loading...

Options, return predictability, trading volume

2.

Impact of Truncation on Model-Free Implied Moment Estimator

2015 Financial Markets & Corporate Governance Conference, Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 45 Posted: 25 Aug 2014 Last Revised: 01 Sep 2015
Geul Lee and Li Yang
NH Finance Research Institute and UNSW Australia Business School, School of Banking and Finance
Downloads 76 (312,884)
Citation 1

Abstract:

Loading...

Truncation error; Model-free implied moment estimators; Domain stabilization

3.

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 NH Finance Research Institute
Downloads 71 (325,092)

Abstract:

Loading...

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

4.

Effectiveness of Linear Extrapolation in Model-Free Implied Moment Estimation

Number of pages: 33 Posted: 06 Apr 2015 Last Revised: 28 Jan 2016
Geul Lee
NH Finance Research Institute
Downloads 46 (400,177)
Citation 2

Abstract:

Loading...

Linear extrapolation, truncation error, model-free implied moment estimators, skewness, kurtosis

5.

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

Asia-Paciļ¬c 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 NH Finance Research Institute

Abstract:

Loading...

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