• Korean Journal of Mathematics
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• 제16권2호
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• pp.233-242
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• 2008

We deal with the closed forms of European option pricing for the general class of volatility asset model and the jump-type volatility asset model by several methods.

• Korean Journal of Mathematics
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• 제13권1호
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• pp.19-34
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• 2005

Pricing and hedging strategy for European options of jump-type asset models, which are derived from a stochastic differential equations, are discussed.

• 재무관리연구
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• 제12권2호
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• pp.207-219
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• 1995

This paper develops an equilibrium asset pricing model with taxation in the economy. The expected excess rate of return on a risky asset is shown to be an increasing function of the covariance of asset return with aggregate consumption rate changes and the covariance of asset return with the tax rates as well. Thus, the expected execss rate of return can be decomposed as the consumption risk premium and the tax premium. The capital asset pricing model derived in the absence of taxes is shown to understate the expected excess rate of return and to have a misspecification error in the economy with taxation.

• Korean Journal of Mathematics
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• 제20권1호
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• pp.47-60
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• 2012

We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.33-40
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• 2020

The main aim of the study is to test a house pricing model by combining hedonic and asset-based pricing models. An understanding of the relationship between house pricing and its return (the rental income) helps to establish houses as a significant asset class. The model tested the relationship between house pricing (dependent variable) and the house attributes (independent variables) derived from Freeman's framework of housing attributes. This study uses a large data-set of 1,899 sample of new, high-end houses purchased between 2016 and 2019 collected from the national capital region of India (Delhi-NCR). The algorithm was built in R-Script, and stepwise multiple linear regression was used to analyze the model. The analysis of the model proves that the three significant variables, namely, carpet area, pay-off, and annual maintenance charges explain the price function. Further, the model is statistically fit. The major contribution of the study is to understand the key factors and their influence on the house pricing. The model will be helpful in risk assessment in the housing investment and enhance the chances of investment. Policy-makers can use information about the underlying valuation drivers of the house prices to stabilize the market and also in framing the tax policies.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제23권3호
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• pp.237-251
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• 2019

We extend the previous work [J. Korean Soc. Ind. Appl. Math. 21(3) 181] to two-and three-asset equity-linked securities (ELS). In the real finance market, two-or three-asset ELS is more popular than one-asset ELS. Therefore, we need to develop mobile platform for pricing the two-and three-asset ELS. The mobile implementation of the ELS pricing will be very useful in practice.

• 재무관리논총
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• 제2권2호
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• pp.171-211
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• 1995

Relatively little is known about the relationship between taxes and asset prices. Differential tax treatment of assets in the same risk class implies differential pricing. Conversely, the ability of tax-exempt investors to engage in tax arbitrage should drive any pricing differences away. The differential tax treatment of classes of US Treasury securities provides a straightforward setting for the examination of possible tax-effects in asset prices. Using the Cox-Ingersoll-Ross Term Structure Model as our framework, we examine the pricing of US Treasury securities over two distinct tax regimes. Evidence that tax effects are not arbitraged away is presented.

• KDI Journal of Economic Policy
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• 제29권1호
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• pp.113-136
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• 2007

우리나라 주택가격은 2001년 이후 빠르게 상승하는 모습을 보이고 있어 주택가격의 급등에 대한 우려가 높다. 본 연구에서는 우리나라의 주택가격을 주택시장 수급의 장기균형모형, 현재가치모형 및 일반 균형자산 가격모형 등의 이론적 자산가격모형을 이용하여 분석하고 이에 따르는 시사점을 모색하였다. 분석결과 주택가격이 경제의 기초적인 여건을 반영한 균형가격보다 전반적으로 높게 나타나 주택가격의 안정화를 위한 노력이 필요한 것으로 판단된다.

• Management Science and Financial Engineering
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• 제19권1호
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• pp.11-16
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• 2013

This paper derives an equilibrium asset price when there exist three kinds of traders in financial market: a risk-averse informed trader, noise traders, and risk neutral market makers. This paper is an extended version of Kyle's (1985, Econometrica) continuous time model by introducing insider's risk aversion. We obtain not only the equilibrium asset pricing and market depth parameter but also insider's value function and optimal insider's trading strategy explicitly. The comparative static shows that the market depth (the reciprocal of market pressure) increases with time and volatility of noise traders' trading.

• 충청수학회지
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• 제27권2호
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• pp.237-242
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• 2014

In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.