Hankuk University of Foreign Studies
Sol Kim is a Professor of Finance at Hankuk University of Foreign Studies (HUFS) in South Korea. Prior to joining HUFS, he taughed at Seoul Women's University. His expertise is in the areas of derivative markets and financial risk management. He has published over thrty articles in leading academic and professional journals, including the Journal of Futures Markets, the Journal of Risk and Pacific-Basin Finance Journal. He holds Bachelors, Masters and Ph.D. degrees from Korea Advanced Institute of Science and Technology (KAIST).
Articles by Sol Kim
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Delta-hedged gains and risk-neutral moments
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.