원문정보
초록
영어
In these days, the importance of money is increased. The wise investors want to have an useful tool which provides overall information in Option market. The KOWA system is the useful tool to provide this overall information. It is Ko’s Option Windows Agent that provides overall information from fragmentary data exported by HTS. Conventionally Option Greeks are used for position traders. But they have used the fragmentary Greeks such as delta, gamma, theta, etc. This paper suggests the new parameters extracted by overall view. Those are omega, mu and sigma. It can be extracted by KOWA system on real time. And the methods to compute the new Greeks are also inspected. The examples are appended which are based on real data of Korean Option market. These new Greeks might be very useful to the wise investors. And KOWA system might be a very useful tool.
목차
1. Introduction
2. KOWA System
2.1. Index Range
2.2. Secret Values
3. New Parameters
3.1. Overall View
3.1. The Option Greeks
3.2. The New Parameters
3.3. Definitions
4. Method to Extract New Parameters
4.1. Exhaust Search Method
4.2. Efficient Method
5. Examples
6. Conclusion
Acknowledgements
References