@article{ART000871796},
author={Kim, Hunsoo and Gwang-Yong Gim and 정대용},
title={인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2002},
volume={13},
number={3},
pages={155-176}
TY - JOUR
AU - Kim, Hunsoo
AU - Gwang-Yong Gim
AU - 정대용
TI - 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구
JO - Journal of Insurance and Finance
PY - 2002
VL - 13
IS - 3
PB - Korea Insurance Research Institute
SP - 155
EP - 176
SN - 2384-3209
AB - The objective of this paper is to empirically investigate and compare pricing accuracy of stock index futures models; cost-of-carry model, general equilibriummodel and neural network model. Neural network models could min imize pricingerrors because they do not require unrealistic assumptions, e.g . , underlying assets’stochastic processes. In order to achieve the research objectiv e, we employ threeevaluation statistics; average pricing errors, MAD(Mean Absolut e Deviation) and MSE(Mean Square Error). We find that the general equilibrium model outperformsthe cost-of-carry model and that the neural network model ‘with more lagvariables’performs better than the general equilibrium model. The results imply that not only general equilibrium models but also neural network models could be potential alternatives for more accurate pricing models on stock index futures and that further studies on these models should be warranted.
KW - KOSPI 200;stock index futures;pricing;cost-of-carry model;general equilibrium model;neural network model;pricing accuracy;average pricing errors;MAD(Mean Absolut e Deviation) and MSE(Mean Square Error)
DO -
UR -
ER -
Kim, Hunsoo, Gwang-Yong Gim and 정대용. (2002). 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구. Journal of Insurance and Finance, 13(3), 155-176.
Kim, Hunsoo, Gwang-Yong Gim and 정대용. 2002, "인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구", Journal of Insurance and Finance, vol.13, no.3 pp.155-176.
Kim, Hunsoo, Gwang-Yong Gim, 정대용 "인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구" Journal of Insurance and Finance 13.3 pp.155-176 (2002) : 155.
Kim, Hunsoo, Gwang-Yong Gim, 정대용. 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구. 2002; 13(3), 155-176.
Kim, Hunsoo, Gwang-Yong Gim and 정대용. "인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구" Journal of Insurance and Finance 13, no.3 (2002) : 155-176.
Kim, Hunsoo; Gwang-Yong Gim; 정대용. 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구. Journal of Insurance and Finance, 13(3), 155-176.
Kim, Hunsoo; Gwang-Yong Gim; 정대용. 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구. Journal of Insurance and Finance. 2002; 13(3) 155-176.
Kim, Hunsoo, Gwang-Yong Gim, 정대용. 인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구. 2002; 13(3), 155-176.
Kim, Hunsoo, Gwang-Yong Gim and 정대용. "인공신경망모형을 이용한KOSPI 200 선물의 가격결정에 관한 연구" Journal of Insurance and Finance 13, no.3 (2002) : 155-176.
