• Journal of applied mathematics & informatics
• /
• 제29권5_6호
• /
• pp.1501-1509
• /
• 2011

In this study, assume that the stock price obeys the stochastic differential equation driven by mixed fractional Brownian motion, and the short rate follows the Vasicek model. Then, the Black-Scholes partial differential equation is held by using fractional Ito formula. Finally, the pricing formulae of the barrier option are obtained by partial differential equation theory. The results of Black-Scholes model are generalized.

• 벤처혁신연구
• /
• 제7권1호
• /
• pp.17-39
• /
• 2024

본 연구는 정부의 R&D 지원과 벤처기업의 스톡옵션제도 활용이 벤처기업의 혁신, 즉 혁신역량 및 혁신성과에 미치는 영향을 분석하고자 하였다. 이를 위해 국내 벤처확인기업을 대상으로 진행된 벤처기업정밀실태조사 자료를 활용해 부분최소제곱 구조방정식모델링(PLS-SEM) 방법으로 실증분석을 실시하였다. 분석 결과, 정부 R&D 지원의 수혜 여부는 벤처기업의 혁신역량 강화에 정(+)의 영향을 미치는 것으로 나타났으며, R&D 지원은 벤처기업의 혁신성과에도 정(+)의 영향을 미치는 것으로 나타났다. 또한 벤처기업의 스톡옵션제도 활용은 기업의 혁신역량 강화에 정(+)의 영향을 미치고, 벤처기업의 혁신성과에도 정(+)의 영향을 미치는 것으로 나타났다. 벤처기업의 혁신역량은 정부의 R&D 지원 및 벤처기업의 스톡옵션제도 활용과 기업의 혁신성과 사이를 유의하게 매개하는 것으로 나타났다. 이러한 분석결과들은 벤처기업의 혁신에 있어서 정부의 R&D 지원과 스톡옵션 제도의 활용이 의미있는 역할을 할 수 있음을 보여주며, 아울러 혁신의 프로세스에서 벤처기업의 혁신역량이 중요한 의미가 있음을 보여준다. 따라서 벤처기업에 대한 R&D 지원의 기조를 꾸준히 이어나가면서 동시에 기업의 역량강화를 지원하는 다면적 정책수단을 투입할 필요가 있으며, 스톡옵션제도의 활성화를 위한 법적·제도적 정비와 정책적 지원이 지속적으로 이루어질 필요가 있을 것으로 보인다.

• 산업경영시스템학회지
• /
• 제22권49호
• /
• pp.43-57
• /
• 1999

The recent trend is that risk management has more and more its importance. Neverthless, Korea's risk management is not developed. Even most banks does gap, duration in ALM for risk management, development and operation of VaR stressed at BIS have elementary level. In the case of Fallon and Pritsker, Marshall, gamma model is superior to delta model and Monte Carlo Simulation is improved at its result, as sample number is increased. And, nonparametric model is superior to parametric model. In the case of Korea's stock portfolio, VaR of Monte Carlo Simulation and Full Variance Covariance Model is less than that of Diagonal Model. The reason is that VaR of Full Variance Covariance Model is more precise than that of Diagonal Model. By the way, in the case of interest rate, result of monte carlo simulation is less than that of delta-gamma analysis on 95% confidence level. But, result of 99% is reversed. Therefore, result of which method is not dominated. It means two fact at forecast on volatility of stock and interest rate portfolio. First, in Delta-gamma method and Monte Carlo Simulation, assumption of distribution affects Value at Risk. Second, Value at Risk depends on test method. And, if option price is included, test results will have difference between the two. Therefore, If interest rate futures and option market is open, Korea's findings is supposed to like results of other advanced countries. And, every banks try to develop its internal model.

• 디지털산업정보학회논문지
• /
• 제6권3호
• /
• pp.211-219
• /
• 2010

This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

• Industrial Engineering and Management Systems
• /
• 제10권1호
• /
• pp.84-94
• /
• 2011

In this paper, we propose a method to provide the distribution of option price under local volatility model when market-provided implied volatility data are given. The local volatility model is one of the most widely used smile-consistent models. In local volatility model, the volatility is a deterministic function of the random stock price. Before estimating local volatility surface (LVS), we need to estimate implied volatility surfaces (IVS) from market data. To do this we use local polynomial smoothing method. Then we apply the Dupire formula to estimate the resulting LVS. However, the result is dependent on the bandwidth of kernel function employed in local polynomial smoothing method and to solve this problem, the proposed method in this paper makes use of model averaging approach by means of bandwidth priors, and then produces a robust local volatility surface estimation with a confidence interval. After constructing LVS, we price barrier option with the LVS estimation through Monte Carlo simulation. To show the merits of our proposed method, we have conducted experiments on simulated and market data which are relevant to KOSPI200 call equity linked warrants (ELWs.) We could show by these experiments that the results of the proposed method are quite reasonable and acceptable when compared to the previous works.

• 재무관리연구
• /
• 제26권3호
• /
• pp.227-246
• /
• 2009

옵션 모형에 관한 실증연구에서 모형의 적격성을 평가하는데 사용한 잣대는 옵션 모형으로 구한 이론적 가격과 시장옵션가격간의 가격괴리를 평가하거나 일정기간동안 정기적으로 재조정한 헤지포트폴리오의 성과를 비교하는 것이다. 기존의 연구에서는 기초자산의 변동성에 대한 Black-Scholes 모형의 엄격한 가정을 이완시킨 확률적 변동성 모형이 Black-Scholes 모형의 가격괴리를 크게 개선하고 있음을 밝히고 있으나 동태적 헤지성과에 대해서는 여러 연구가 일관된 결과를 도출하고 있지 못하고 있다. 이 연구에서는 시뮬레이션 기법을 이용하여 Heston의 확률적 변동성 모형의 가정이 완벽히 구현되는 상황을 재현하고 그 상황에서 Heston 모형과 Black-Schols 모형의 동태적 헤지성과를 비교하였다. 시뮬레이션 결과에 따르면 헤지수단으로 기초자산만을 사용하였을 경우 완전히 적격한 모형인 Heston 모형은 확률적 변동성을 감안하지 않은 Black-Scholes 모형에 비해 헤지위험을 크게 줄이지 못하는 것으로 나타났다. 이 결과는 동태적 헤지성과로 옵션모형의 적격성을 평가하는 데는 일정부문 한계가 있을 수 있다는 점을 시사한다. 한편 실무적인 측면에서 옵션거래에 대한 동태적 헤지수단으로 굳이 확률적 변동성 모형과 같은 복잡한 모형을 이용할 필요가 없다는 점을 내포한다.

• 한국산학기술학회논문지
• /
• 제1권2호
• /
• pp.85-92
• /
• 2000

Warrant란 소유자에게 일반회사채의 권리에 일정한 기간내에 일정한 가격으로 정해진 수의 발행회사 주식을 매입할 수 있는 권리인 신주인수권을 함께 부여한 사채로서 금융파생상품의 하나이다. Warrant는 콜옵션과 동일한 성격을 가지면서도 투자자가 아니라 기업에 의해서 발행된다는 점이 콜옵션과 상이하다. 이러한 warrant의 특징은 특히 배당(dividend)을 지급하는 경우 블랙ㆍ숄즈 옵션가격 모형으로 평가하는데 문제가 있다. 또한 신주인수권의 행사는 발행주식의 수를 증가 시킴으로써 기업의 자산과 이익이 희석화(dilution) 된다. 본 연구는 OPM 대신에, 다변량 분석기법중의 하나인 다중회귀분석을 통하여 warrant가격에 영향을 미치는 주요 변수를 분석함으로써 warrant 가격결정 문제를 해결하고자 한다. 이를 위하여 1995년과 1996년의 일본동경주식시장의 300여개 warrant 자료를 토대로 실증분석 함으로써 warrant 가격결정 주요변수와 warrant 가격 예측 모형을 검토하였다.

• 한국경영과학회지
• /
• 제35권1호
• /
• pp.83-95
• /
• 2010

This paper considers a firm that operates make-to-stock and make-to-order facilities in successive stages. The make-to-stock facility produces components which are consumed by the external market demand as well as the internal make-to-order operation. The make-to-order facility processes customer orders with the option of acceptance or rejection. In this paper, we address the problem of coordinating how to allocate the capacity of the make-to-stock facility to internal and external demands and how to control incoming customer orders at the make-to-order facility so as to maximize the firm's profit subject to the system costs. To deal with this issue, we formulate the problem as a Markov decision process and characterize the structure of the optimal inventory allocation and customer order control. In a numerical experiment, we compare the performance of the optimal policy to the heuristic with static inventory allocation and admission control under different operating conditions of the system.

• KDI Journal of Economic Policy
• /
• 제40권4호
• /
• pp.1-22
• /
• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

• Journal of Information Processing Systems
• /
• 제18권5호
• /
• pp.637-649
• /
• 2022

Investors aim to increase their profitability by investing in the stock market. An adroit strategy for minimizing related risk lies through diversifying portfolio operationalization. In this paper, we propose a six-step stocks portfolio selection model. This model is based on data mining clustering techniques that reflect the ensuing impact of the political, economic, legal, and corporate governance in Mongolia. As a dataset, we have selected stock exchange trading price, financial statements, and operational reports of top-20 highly capitalized stocks that were traded at the Mongolian Stock Exchange from 2013 to 2017. In order to cluster the stock returns and risks, we have used k-means clustering techniques. We have combined both k-means clustering with Markowitz's portfolio theory to create an optimal and efficient portfolio. We constructed an efficient frontier, creating 15 portfolios, and computed the weight of stocks in each portfolio. From these portfolio options, the investor is given a choice to choose any one option.