• Title/Summary/Keyword: cash-or-nothing

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ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS

  • Lee, Seunggyu;Li, Yibao;Choi, Yongho;Hwang, Hyoungseok;Kim, Junseok
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.18 no.1
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    • pp.61-74
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    • 2014
  • This paper presents accurate and efficient numerical methods for calculating the sensitivities of two-asset European options, the Greeks. The Greeks are important financial instruments in management of economic value at risk due to changing market conditions. The option pricing model is based on the Black-Scholes partial differential equation. The model is discretized by using a finite difference method and resulting discrete equations are solved by means of an operator splitting method. For Delta, Gamma, and Theta, we investigate the effect of high-order discretizations. For Rho and Vega, we develop an accurate and robust automatic algorithm for finding an optimal value. A cash-or-nothing option is taken to demonstrate the performance of the proposed algorithm for calculating the Greeks. The results show that the new treatment gives automatic and robust calculations for the Greeks.

PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS

  • KIM, JUNSEOK;YOO, MINHYUN;SON, HYEJU;LEE, SEUNGGYU;KIM, MYEONG-HYEON;CHOI, YONGHO;JEONG, DARAE;KIM, YOUNG ROCK
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.20 no.2
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    • pp.163-174
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    • 2016
  • In this paper, we propose an optimal choice scheme to determine the best option among comparable options whose current expectations are all the same under the condition that an investor has a confidence in the future value realization of underlying assets. For this purpose, we use a path-averaged option as our base instrument in which we calculate the time discounted value along the path and divide it by the number of time steps for a given expected path. First, we consider three European call options such as vanilla, cash-or-nothing, and asset-or-nothing as our comparable set of choice schemes. Next, we perform the experiments using historical data to prove the usefulness of our proposed scheme. The test suggests that the path-averaged option value is a good guideline to choose an optimal option.

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

  • HEO, YOUNGJIN;HAN, HYUNSOO;JANG, HANBYEOL;CHOI, YONGHO;KIM, JUNSEOK
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.23 no.1
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    • pp.19-30
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    • 2019
  • In this paper, we develop an accurate explicit finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. In general, the correlation term in multi-asset options is problematic in numerical treatments partially due to cross derivatives and numerical boundary conditions at the far field domain corners. In the proposed hybrid boundary condition, we use a linear boundary condition at the boundaries where at least one asset is zero. After updating the numerical solution by one time step, we reduce the computational domain so that we do not need boundary conditions. To demonstrate the accuracy and efficiency of the proposed algorithm, we calculate option prices and their Greeks for the two-asset European call and cash-or-nothing options. Computational results show that the proposed method is accurate and is very useful for nonlinear boundary conditions.

AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION

  • Jeong, Da-Rae;Wee, In-Suk;Kim, Jun-Seok
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.14 no.3
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    • pp.175-187
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    • 2010
  • This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

Older Parents with Disabled Adult Children in Later Life: Health and Welfare Needs (성인장애자녀를 돌보는 저소득 노인부모의 보건복지 욕구)

  • Kim, Eunhye;Suk, Min-Hyun;Youn, Jung-Hye
    • 한국노년학
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    • v.30 no.4
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    • pp.1213-1223
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    • 2010
  • The purpose of this study is to explore and describe the health and welfare needs experienced by old parents living with disabled adult children, and to help generate research interest and public policy attention on this critical issue. For the purpose of this study, the survey was conducted with older parents who are living with dependent adult children with physical or mental disability. Among collected data for this study, data for 105 older parents were analyzed. The results showed that older parents have suffered with care responsibilities for their disabled adult children as well as special needs resulted from their old age. And older parents have little or even nothing prepared for later life because of lifetime economic, physical and social difficulties related to their disabled children. Also these difficulties had a significant impact on their idea of health and welfare needs in later life. It showed that older parents had mainly concerned and wanted to have the direct cash benefits and medical provisions but hardly recognised the importance of other services such as leisure activities. Preliminary suggestions of this study therefore may be helpful to improve the public policy approach in order to better serve older parents with disabled adult children in the coming aging society.

Legal Relations of the Contract of International Carriage of Goods by Air (국제항공화물운송계약(國際航空貨物運送契約)의 법률관계(法律關係) -화주(貨主)의 권리의무(權利義務)를 중심(中心)으로-)

  • Lee, Kang-Bin
    • The Korean Journal of Air & Space Law and Policy
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    • v.1
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    • pp.193-222
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    • 1989
  • The purpose of this study is to review the rights and duties of cargo owners, the party to the contract of international carriage of goods by air under the Warsaw Convention System and the IATA conditions. It is generally known that air freight is the most-cost mode of transportation. However, should there be considerations of total distribution cost, the use of air freight leads exporters to be advantageous in physical distribution. The Warsaw Convention System defined and limited the rights and duties of cargo owners and air carriers paticipating in the international carriage of goods, but it does not regulate every aspect of air transportation. Therefore, the unregulated parts are governed by national laws and by individual contracts of carriage. The International Air Transport Association(lATA), a worldwide organization of airlines, has formulated model conditions of contract for the carriage of cargo. These models are not uniformly followed but they serve as a basis for many of the individual standard form of contracts prepared by air carriers. The contract of air carriage of goods is a contract of adhesion, 'the consignor recognizing and accepting the conditions laid down by the carrier'. There are consignors and carriers as the parties to the contract of international carriage of goods. In addition to his basic right, implied in Warsaw Convention Article 18 and 19, to require devery of the goods in good condition and at the date agreed upon, the consignor has the right to dispose the goods in the course of the journey up to the moment when the consignee is entitled to require delivery. If it is impossible to carry out the orders of the consignor, the carrier must so inform him forthwith. The right conferred on the consignor ceases at the moment when that of the consignee begins in accordance with Warsaw Convention Article 13. Nevertheless, if the consignee declines to accept the air waybill or the goods, or if he cannot be communicated with, the consignor resumes his right of disposition. Unless it is otherwise agreed, it is the duty of the carrier to give notice to the consignee as soon as the goods arrive. The consignee is entitled, on arrival of the goods at the place of destination, to require the carrier to hand over to him the air waybill and to deliver the goods to him, on payment of the charges due and on complying with the conditions of carriage set out in the air waybill. The air waybill is supposed to be made out by the consignor. If the carrier makes it out, he is deemed, subject to proof to the contrary, to have done so on behalf of the consignor, whether there is one air waybill or several, each must be made out in three original parts. The first is for the carrier, the second is for the consignee, and the the third is handed to the consignor when the shipment has been accepted. The consignor is responsible for the correctness of the particulars and statement concerning the cargo appearing in the air waybill. Each of the original parts of the air waybill has evidential value and possession of his part is a condition for the exercise by the consignor or consignee of his rights under the contract of carriage. Hague Protocol set forth in Article 9 that nothing in this. Convention prevents the issue of a negotiable air waybill, but Montreal Additional Protocol No. 4 deleted this article. All charges applicable to a shipment are payable in cash at the time of acceptance thereof by the carrier in case of a prepaid shipment or at the time of delivery thereof by the carrier in case of a collect shipment. The carrier shall have lien the cargo for unpaid charges and, in the event of non-payment thereof, shall have the right to dispose of the cargo at public or private sale and pay itself out of the proceeds of such sale any and all such amounts. In conclusion, the Warsaw Convention System has the character of ambiguity in various respects, not only in the part of the forms of documents but also in conditions of contract. Accordingly, the following propositions might be considered: (1) If the carrier does not obey the orders of the consignor for the disposition of the goods without proper reasons, he will be liable strictly for any damage which may be caused thereby to the cargo owner. The special agreement and carrier's conditions of carriage which limit unreasonably the consignor's right of disposition of the goods will be nullified. (2) The instrument of the Warsaw Convention System which is not yet in force(Montreal Additional Protocol No. 4) would considerably simplfy the processing and keeping of computerized records of the carriage. Until this instrument enters into force, the airlines will be faced with practical problems preventing them to substitute computerized data processing techniques for the formal issuance of the documents. Accordingly, Montreal Additional Protocol No. 4 should become effective as soon as posisble. From a practical point of view in the international trade, the issuance of negotiable air waybill should be permitted for the security of the bank.

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History of Plant Protection Science since 1900 in Korea (한국(韓國)에 있어서의 식물보호(植物保護) 연구사(硏究史) -1900년대(年代)를 중심(中心)으로-)

  • Park, Jong-Seong
    • Korean Journal of Agricultural Science
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    • v.6 no.1
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    • pp.69-95
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    • 1979
  • The study was conducted to search developmental process of plant protection science from review of forty-three hundreds literatures presented since 1900 in Korea and to forecast future statues of the science to be done. About 80 percent of literatures related to plant protection science such as plant pathology, applied entomology, weed science and agricultural pharmacology were collected from publications of agricultural and forestry reseach organizations attached to Office of Rural Development and Office of Forestry. The rest of literatures were mainly collected from Korean Journal of Plant Protection Society and small number of literatures were also collected from publications of the other journals of crop science and thesis collection of agricultural colleges. In Korea, research organizations of plant protection science are divided into two main groups such as exclusive agricultural research organizations and agricultural colleges. It is pointed out that the former contributions to plant protection science are very great compared to those of the latter since 1900. From periodical consideration of developmental process of the science since 1900, the history or the science are divided into three eras such as introduction and sprout of modern plant protection science during the first forty years, distress of the science during the following twenty years including the Second World War and the Korean War and rapid growth of the science after 1961. In spite of long time distress of the science during the Second World War and the Korean War, the researches on plant protection science in post-war have been done twice as many as pre-war. From consideration of the subject plants in researches of plant protection, it is shown that a great many researches on protection of rice plant have been done and occupy 37 percent of plant protection researches since 1900. And also researches on protection of fruit-trees and cash-crops are not so many as those of rice plant but have been done in noticeable numbers. In fact, researches on protection of fruit-trees and cashcrops were the most important subjects of plant protection researches in pre-war while those of rice plant were the most important subjects after 1930, particulary in post-war. From consideration of contents of plant protection researches, it is said that more fundamental researches than applied ones such as practical control methods of diseases, insect pests and weeds were done in pre-war while more applied researches than fundamental ones were done in post-war, Among applied researches, those of chemical control were the most important subjects. Researches on disease and insect-pest resistance have been done in both pre-war and post-war while researches on forecasting of disease and insect-pest and race of plant pathogens have been done in post-war. And also researches on weed control mainly have been done after 1960. Researches on agricultural chemicals for control of diseases, insect pests and weeds still belong to a new field which must be expected in future, and there is nothing to notice with the exception of practical application of agricultural chemicals introduced from foreign countries. Some of important researches on diseases and insect pests were discussed in relation to developmental process of plant protection science in Korea since 1900. In future, researches on plant protection will be develop to the direction supporting importance of integrated control for plant protection. Therefore, it is pointed out that security of highly educated and trained scientists with enlargement of reseach fields of plant protection science are necessary and role of agricultural colleges for future development of the science must be emphasized.

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