• Title, Summary, Keyword: options

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Development of Options Trading System using KOSPI 200 Volatility Index (코스피 200 변동성지수를 이용한 옵션투자 정보시스템의 개발)

  • Kim, Sun Woong;Choi, Heung Sik;Oh, Jeong Hwan
    • Journal of Information Technology Services
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    • v.13 no.2
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    • pp.151-161
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    • 2014
  • KOSPI 200 index options market has the highest trading volume in the global options markets. The risk and return structure of options contracts are very complex. Volatility complicates options trading because volatility plays a central role in options pricing process. This study develops a trading system for KOSPI 200 index options trading using KOSPI 200 volatility index. We design a database system to handle the complex options information such as price, volume, maturity, strike price, and volatility using Oracle DBMS. We then develop options trading strategies to test how the volatility index is related to the prices of complicated options trading strategies. Back test procedure is presented with PL/SQL of Oracle DBMS. We simulate the suggested trading system using historical data set of KOSPI 200 index options from December 2008 to April 2012.

Pricing Outside Barrier Options

  • Lee Hangsuck
    • Proceedings of the Korean Statistical Society Conference
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    • pp.165-170
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    • 2004
  • This paper will derive explicit unified pricing formulas for eight types of outside barrier options, respectively. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. The eight types of barrier options are up-and-in, up-and-out, down-and-in and down-and-out call (or put) options.

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PRICING OF POWER OPTIONS UNDER THE REGIME-SWITCHING MODEL

  • Kim, Jerim
    • Journal of applied mathematics & informatics
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    • v.32 no.5_6
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    • pp.665-673
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    • 2014
  • Power options have payoffs that are determined by the price of the underlying asset raised to some power. In this paper, power options are considered under a regime-switching model which can capture complex asset dynamics by permitting switching between different regimes. The pricing formulas for the Laplace transforms of power options are obtained. The prices of power options are calculated using the formulas and compared with the results of the Monte Carlo simulation.

DISCOUNT BARRIER OPTION PRICING WITH A STOCHASTIC INTEREST RATE: MELLIN TRANSFORM TECHNIQUES AND METHOD OF IMAGES

  • Jeon, Junkee;Yoon, Ji-Hun
    • Communications of the Korean Mathematical Society
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    • v.33 no.1
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    • pp.345-360
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    • 2018
  • In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

Strategic Errors Detection in Gameplay by the Inspection of Payoff Matrices (보수행렬 검사를 통한 게임플레이의 전략적 오류 검출)

  • Chang, Hee-Dong
    • Journal of Korea Game Society
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    • v.11 no.2
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    • pp.13-18
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    • 2011
  • Sid Meier said, "A game is a series of interesting choices." This means the interesting choices make the game funny. In this paper, we define the no interesting options in the gameplay as strategic errors of the gameplay and suggest a detection method of these errors of the gameplay. The suggested method detects the strategic errors of the gameplay by the inspection of the payoff matrices. This method can detect the options of no strategies of the opponent, dominant options, dominated options, similar options with almost same payoffs in the case of the inspection of the payoff matrices. Additionally it can detect the options of the expected payoff with excessively high, the options of the expected payoff with excessively low, the options of the usage probability with excessively high, and the options of the usage probability with excessively low in the case of the inspection of the payoff matrices with the corresponding frequency rates.

VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS

  • Choi, Hyeong-In;Heath, David;Ku, Hye-Jin
    • Journal of the Korean Mathematical Society
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    • v.41 no.3
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    • pp.513-533
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    • 2004
  • We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function-gamma of the options- is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland 〔11〕 and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. 〔10〕, Avellaneda and Paras 〔1〕. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller's and buyer's position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.

Comparison of treatment options in meniere's disease

  • Eshita, Ishrat Rafique
    • The Korean Journal of Food & Health Convergence
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    • v.5 no.5
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    • pp.27-31
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    • 2019
  • Meniere's disease (MD) is a disease that affects the inner ear. It is formed as a result of endolymphatic hydrops. Hearing loss and vertigo are important in the diagnosis of MD. There is fluctuating and progressive hearing loss. Vertigo attacks cause severe dizziness in the patient. There are many treatment options in MD. These are hearing aid, diet, medication and surgery. In this study, we will discuss the advantages and disadvantages of the different treatment options. Treatment options have been compared to find out what the appropriate treatment is. Another concern is the importance of surgery in MD. This study is combination of qualitative and quantitative studies. Much focus will be on vertigo, and appropriate treatment options of MD will be mentioned also the importance of surgery. The main question in this study is the necessity of surgery. Surgical procedures are the most doubtful treatment option because of their indications and contraindications. In this study, it has been noticed that surgical operation should be delayed as much as possible. Priority is to try other treatment options. Surgery can be considered as a last resort. When we look at the operations performed, operations are mostly done in advanced Meniere cases.

An Analysis of the Demand Expansion Options for the Domestic Anthracite Coal (국내 무연탄의 수요개발 가능성 분석)

  • 최기련;강희정
    • Journal of Energy Engineering
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    • v.1 no.1
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    • pp.102-110
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    • 1992
  • The determination of production level of the domestic anthracite coal is an important issue in the national energy strategy. It is also closely related to the energy mix scenarios in the future. The objective of the paper is to discuss and analyze the options of expanding anthracite coal demand in the utility sector. The observed options are including; (1) New pulverized system of the 200 and 500 MW level, (2) Atmospheric Fluidized Bed Combustion (AFBC), and (3) Pressurized Fluidized Bed Combustion (PFBC). Special emphasis is placed on the considerations in estimating the effects on the electric system costs and government subsidies when the options are introduced in the utility sector.

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AN EFFICIENT BINOMIAL TREE METHOD FOR CLIQUET OPTIONS

  • Moon, Kyoung-Sook;Kim, Hong-Joong
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.15 no.2
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    • pp.83-96
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    • 2011
  • This work proposes a binomial method for pricing the cliquet options, which provide a guaranteed minimum annual return. The proposed binomial tree algorithm simplifies the standard binomial approach, which is problematic for cliquet options in the computational point of view, or other recent methods, which may be of intricate algorithm or require pre- or post-processing computations. Our method is simple, efficient and reliable in a Black-Scholes framework with constant interest rates and volatilities.

AN IMPROVED BINOMIAL METHOD FOR PRICING ASIAN OPTIONS

  • Moon, Kyoung-Sook;Kim, Hongjoong
    • Communications of the Korean Mathematical Society
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    • v.28 no.2
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    • pp.397-406
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    • 2013
  • We present an improved binomial method for pricing European- and American-type Asian options based on the arithmetic average of the prices of the underlying asset. At each node of the tree we propose a simple algorithm to choose the representative averages among all the effective averages. Then the backward valuation process and the interpolation are performed to compute the price of the option. The simulation results for European and American Asian options show that the proposed method gives much more accurate price than other recent lattice methods with less computational effort.