• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

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.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.29 no.5
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• pp.1167-1177
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• 2019

In this paper, the improved security operation model based on the vulnerability database is studied. The proposed model consists of information protection equipment, vulnerability database, and a dashboard that visualizes and provides the results of interworking with detected logs. The evaluation of the model is analyzed by setting up a simulated attack scenario in a virtual infrastructure. In contrast to the traditional method, it is possible to respond quickly to threats of attacks specific to the security vulnerabilities that the asset has, and to find redundancy between detection rules with a secure agent, thereby creating an optimal detection rule.