KOSPI 200 지수옵션의 수익률생성과정에 내재된 체계적 위험요인 = Systematic Risk Factors Implied in the Return Dynamics of KOSPI 200 Index Options

다국어 초록 (Multilingual Abstract)

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options.We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

국문 초록 (Abstract)

본 연구는 결정적변동성 옵션가격결정모형 보다 더 일반적인 조건 하에서도 성립되는 옵션의 레버리지효과와 기초자산을 일차원확산과정으로 제약할 경우에만 성립되는 여분가정의 성립여부를 실증적으로 검증하였다. 다음으로 여분가정이 기각될 경우 해당원인을 규명하기 위해, 기초자산과의 선형적인 관계 하에서의 레버리지 이외에 KOSPI 200 지수옵션의 시장가격동학에 내재된 추가적인 체계적 위험요인들을 규명하였다. 분석결과 이론과 일치하는 레버리지패턴이 존재하지만 여분자산가정은 기각되었다. 여분가정이 기각되는 원인을 분석한 결과, 선형적인 레버리지 하에서의 기초자산의 불확실성에 대한 프리미엄 이외에, 비선형적인 수익구조 하에서의 체계적 고차적률에 대한 선호와 체계적 확률변동성위험에 대한 음의 프리미엄이 옵션의 시장가격에 반영되어 있는 것으로 나타났다. 그러나 점프위험에 대한 선호여부는 명확하지 않으며 이에 대한 추가적인 연구가 요구되었다.

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