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    KCI등재

    통화옵션을 이용한 미래 원/달러 환율의 위험중립 확률분포 추정 = Estimating the Risk Neutral Probability Distributions of the KRW-USD Exchange Rate Using Currency Option Prices

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    https://www.riss.kr/link?id=A76375880

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    참고문헌 (Reference)

    1 김희식, "원/달러 리스크리버설의 환율예측력 분석" (4) : 104-123, 2004

    2 Bondarenko,O, "Why are Put Options So Expensive?" University of Illinois 2003

    3 Leahy, M. P, "The Sovereignty Option:Market Views on the Quebec Referendum" Federal Reserve Board 1996

    4 McCulloch,J.H, "The Risk Neutral Measures and Option Pricing under Log-Stable Uncertainty" The Ohio State University Working Paper 2003

    5 Black, F, "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

    6 Campa, J. M, "The Forecasting Ability of Correlations Implied in Foreign Exchange Options" Working Paper 1996

    7 Carr, P, "The Finite Moment Log Stable Process and Option Pricing" 58 (58): 753-777, 2003

    8 Disyatat, P, "The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna" 26 (26): 383-402, 2007

    9 Bliss, R, "Testing the Stability of Implied Probability Density Functions" 26 (26): 381-422, 2002

    10 Andersen, L., "Static replication of barrier options:some general results" 5 : 1-25, 2002

    1 김희식, "원/달러 리스크리버설의 환율예측력 분석" (4) : 104-123, 2004

    2 Bondarenko,O, "Why are Put Options So Expensive?" University of Illinois 2003

    3 Leahy, M. P, "The Sovereignty Option:Market Views on the Quebec Referendum" Federal Reserve Board 1996

    4 McCulloch,J.H, "The Risk Neutral Measures and Option Pricing under Log-Stable Uncertainty" The Ohio State University Working Paper 2003

    5 Black, F, "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

    6 Campa, J. M, "The Forecasting Ability of Correlations Implied in Foreign Exchange Options" Working Paper 1996

    7 Carr, P, "The Finite Moment Log Stable Process and Option Pricing" 58 (58): 753-777, 2003

    8 Disyatat, P, "The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna" 26 (26): 383-402, 2007

    9 Bliss, R, "Testing the Stability of Implied Probability Density Functions" 26 (26): 381-422, 2002

    10 Andersen, L., "Static replication of barrier options:some general results" 5 : 1-25, 2002

    11 Derman, E., "Static Options Replication" 2 (2): 78-95, 1995

    12 Crow, E. L, "Robust Estimation of Location" 62 (62): 353-389, 1967

    13 McCauley, R, "Risk Reversal Risk" 9 (9): 54-57, 1996

    14 Melick, W. R, "Recovering an Assets Implied PD from Option Prices:An application to Crude Oil during the Gulf Crisis" 32 (32): 91-115, 1997

    15 Jackwerth,J, "Recovering Risk Aversion from Option Prices and Realized Returns" 13 (13): 433-451, 2000

    16 Breeden, D, "Prices of State Contingent Claims Implicit in option Prices" 51 (51): 621-652, 1978

    17 Lee,S.H, "Parametric RNM Estimation:A Horse Race" The Ohio State University 2008

    18 Bliss, R, "Option-Implied Risk Aversion Estimates" 59 (59): 407-446, 2004

    19 Vahamaa,S, "Option-Implied Asymmetries in Bond Market Expectations Around Monetary Policy Actions of the ECB" ECB Working Paper Series 2004

    20 Carr, P, "Option valuation Using the Fast Fourier Transform" 2 (2): 61-73, 1999

    21 Fratzscher,M, "On the Long-Term Effectiveness of Exchange Rate Communication and Interventions" 25 (25): 146-167, 2006

    22 Hinkley,D.V, "On Power Transformations to Symmetry" 62 (62): 101-111, 1975

    23 Aït-Sahalia, Y, "Nonparametric risk management and implied risk aversion" 94 : 9-51, 2000

    24 Groeneveld, R. A, "Measuring Skewness and Kurtosis" 33 (33): 391-399, 1984

    25 Bates,D, "Jumps and Stochastic Volatility:Exchange Rate Processes Implicit in 162 Deutsche Mark Options" 9 : 69-107, 1996

    26 Han,B, "Investor Sentiment and Option Prices" 21 (21): 387-414, 2008

    27 Brown, G, "Investor Sentiment and Asset Valuation" 78 (78): 405-440, 2005

    28 Campa, J. M., "Implied Exchange Rate Distributions: Evidence from OTC Option Markets" 17 (17): 117-160, 1998

    29 Galati G, "Foreign Exchange Market intervention and expectations:the Yen/Dollar Exchange Rate" 24 (24): 982-1011, 2005

    30 Garman, M. B, "Foreign Currency Opion Values" 2 (2): 231-237, 1983

    31 Mandler,M, "Extracting Market Expectations from Options Prices:Two Case Studies in Market Perceptions of the ECB’s Monetary Policy 1999/2000" 138 : 2002

    32 Bhar, R, "Expectations of Monetary Policy in Australia Implied by the Probability Distribution of Interest Rate Derivatives" 6 : 113-125, 2000

    33 McCulloch, J. H, "Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model" The Ohio State University Working Paper 2008

    34 Malz,A, "Estimating the Probability Distribution of Future Exchange Rates from Option Prices" 5 (5): 18-36, 1997

    35 Castren O, "Estimating and Analysing Currency Options Implied Risk- Neutral Density Functions For the Largest New EU Member States" ECB Working Paper Series 2005

    36 Bu, R, "Estimating Option Implied Risk-Neutral Densities using Spline and Hypergeometric Functions" 10 (10): 216-244, 2007

    37 Rosenberg, J, "Empirical pricing kernels" 64 (64): 341-372, 2002

    38 Castren O, "Do Options-Implied RND functions on G3 Currencies Move Around the Times of Interventions on the JPY/USD Exchange Rate?" ECB Working Paper Series 2004

    39 Shimko,D.C, "Bounds of Probability" 6 (6): 33-37, 1993

    40 Hogg,R.V, "Adaptive Robust Procedures: A Partial Review and Some Suggestions for Future Applications and Theory" 69 (69): 909-923, 1974

    41 Moors,J.J.A, "A Quantile Alternative for Kurtosis" 37 (37): 25-32, 1988

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    유사연구자 (20) 활용도상위20명

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    학술지 이력

    학술지 이력
    연월일 이력구분 이력상세 등재구분
    2027 평가 재인증평가 신청대상 (재인증)
    2021-01-01 등재 등재학술지 유지 (재인증) KCI등재
    2018-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2015-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2011-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2009-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2007-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2005-01-01 등재 등재학술지 유지 (등재유지) KCI등재
    2002-01-01 등재 등재학술지 선정 (등재후보2차) KCI등재
    1999-07-01 등재 등재후보학술지 선정 (신규평가) KCI등재후보
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    학술지 인용정보

    학술지 인용정보
    기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
    2016 0.42 0.42 0.49
    KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
    0.52 0.45 0.872 0.13
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