Recent Developments in the Research on Derivatives Securities in Korea

Young Ho Eom, Woon Wook Jang

Research output: Contribution to journalArticlepeer-review


This paper reviews the academic research on derivative products and derivatives markets in Korea published since 2010. We classify the literature into three main research areas: Derivative securities markets, option pricing models, and risk management. Topics in the derivative securities markets section include the effects of an increase in the option contract multiplier, the price discovery function of derivatives markets, expiration-day effects, and the trading behavior and strategies of market participants. Next, in the section on option pricing models, we introduce theoretical modeling papers, empirical research on pricing models, implied moments, and the variance risk premium, which is derived from option prices. Thereafter, in reviewing the literature on risk management, we focus on the foreign exchange risk management of firms and the relation between risk management and firm value. Finally, we add three unique topics—equity-linked warrants, equity-linked securities, and credit default swaps—to consider the developments in derivatives markets over the past decade.

Original languageEnglish
Pages (from-to)67-144
Number of pages78
JournalAsian Review of Financial Research
Issue number3
Publication statusPublished - 2022 Aug

Bibliographical note

Funding Information:
* Corresponding Author:, Tel: +82-33-760-2338 This paper was accomplished as a part of the 2020 knowledge database project by the Korea Finance Association (KFA), and financially supported by KFA and NH Investment & Securities Co., Ltd.

Funding Information:
1) The research by Kim (2010) was supported by the Korean Finance Association (KFA) as a part of the 2010 knowledge database project.

Publisher Copyright:
© 2022, Korean Finance Association. All rights reserved.

All Science Journal Classification (ASJC) codes

  • Finance


Dive into the research topics of 'Recent Developments in the Research on Derivatives Securities in Korea'. Together they form a unique fingerprint.

Cite this