This paper compares the option implied tail indexes and volatilities from two option pricing formulas based on heavy-tailed distributions: generalized extreme value (GEV) distribution and generalized logistic (GLO) distribution. Option pricing models based on heavy-tailed distributions with...

This study proposes a new proxy variable for the speculative trading activities in the analysis of relationship between volatility and trading activities. With the new variable, it examines the dynamic interaction among underlying bond market volatility, futures trading volume, open interest and...

This article provides empirical evidence of the relationship between currency depreciation and stock market return using Korean and Japanese nonfinancial firms' data. Although the recent FX market circumstances have changed compared to Choi <italic>et al</italic>. (2010), we can still confirm the...

Despite its wide use, the Hill estimator and its plot remain to be difficult to use in Extreme Value Theory (EVT) due to substantial sampling variations in extreme sample quantiles. In this paper, we propose a new plot we call the eigenvalue plot which can be seen as a generalization of the Hill...

Although the market prefers the Black-Scholes model, there are problems that the BS model doesn¡¯t reflect the skewness or kurtosis of the return distribution. Under the GEV model, Markose(2001) derives the closed-form solutions for vanilla options, and also removes the distortion of the...

Tail dependence is important to globalized countries, since an open economy is highly sensitive to global economic crises, and easy to get contagioned. This article studies bivariate tail dependence between two random variables, and rstly extends bivariate tail dependence into mul- tivariate...

We start from deriving several option pricing formulas of which the prices of underlying asset follow three different commonly used heavy-tailed distribution functions; Generalized Pareto Distribution, Generalized Logistic Distribution, and Generalized Extreme Value Distribution. The derived...

In this paper, we extend a delayed geometric Brownian model by adding a stochastic volatility term, which is driven by a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an asymptotic method, we develop a theory for option pricing under...

By examining trade imbalances using 40 countries including Euro-zone countries, we show that the trade imbalance has been exacerbated after joining the Euro zone for the member countries, and the intra trade has greater impact on the imbalance than the offshore trade. For the trade between...