• East Asian mathematical journal
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• 제40권1호
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• pp.63-74
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• 2024

Timer options are financial instruments proposed by Société Générale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제14권4호
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• pp.249-273
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• 2010

Often in practice, the implied volatility of an option is calculated to find the option price tomorrow or the prices of, nearby' options. To show that one does not need to adhere to the Black- Scholes formula in this scheme, Figlewski has provided a new pricing formula and has shown that his, alternating passive model' performs as well as the Black-Scholes formula [8]. The Figlewski model was modified by Henderson et al. so that the formula would have no static arbitrage [10]. In this paper, we show how to construct a huge class of such static no arbitrage pricing functions, making use of distortions, coherent risk measures and the pricing theory in incomplete markets by Carr et al. [4]. Through this construction, we provide a more elaborate static no arbitrage pricing formula than Black-Sholes in the above scheme. Moreover, using our pricing formula, we find a volatility curve which fits with striking accuracy the synthetic data used by Henderson et al. [10].

• 한국정보시스템학회지:정보시스템연구
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• 제22권4호
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• pp.85-115
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• 2013

Digital knowledge and information goods as experience goods have some unique characteristics such as close to zero reproduction and distribution cost, high price volatility, and low price acceptability. For the reasons, the pricing policies of digital knowledge goods are very difficult and complicate. Also, most consumers of digital goods have experienced cognitive dissonance after buying decision. The purpose of this paper is to investigate what factors affect the price acceptability level and cognitive dissonance of digital knowledge goods buyers. This paper suggest a structural model that was established by the cognitive dissonance theory and S-O-R(Stimulus-Organization-Response) model. The model is consisted of four exogenous variables and three endogenous variables. The empirical test and statistical analysis suggest following results and practical implications. The variables such as product involvement and perception of price fairness that have positive roles to price acceptability have strong influence on the all the three endogenous variables. But the variables such as sale proneness and price mavenism that have negative roles to price acceptability have little influence on the all the three endogenous variables. In the model, the payment intention was very important mediating variable between exogenous variables and two dependent variables, ie. price acceptability and cognitive dissonance. These results imply that the digital knowledge portals must have some differentiated pricing policies to the customers who have price consciousness and price mavenism. Also, they need some special promotions to whom have positive attitude to the value of digital goods.

• 통상정보연구
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• 제7권3호
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• pp.269-286
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• 2005

The exchange rate volatility has been increased since the time when the floating exchange rate system was introduced in Korea. As a result, the increase of the exchange rate volatility raised the risk in international trades in Korea. The purpose of this study in to study the feature of exchange rate volatility and the main sources of its increase and to confirm whether the exchange rate volatility influence export volume and price of Korea. In the first place, I measured exchange rate volatility with two methods. The one is descriptive statistic method such as the width of daily exchange rate fluctuation and the rate of exchange rate devaluation. The other is the time varying conditional variance of exchange rate. Then, I studied the sources of exchange rate volatility. In the second place, I defined the exchange rate volatility as the time varying conditional variance and estimated it by using elastic a approach model which shows exchange rate is affected by itself and its conditional variance, I estimated its effects on export volumes and prices of electric home appliances, information & communication equal and semi-conductor. The result of this study is as follows. With presumed result EU and Korea because is not the goods which is to substantial competition relationship, The effect where the relative value change of presumed result expression anger and the dollar of import and export function goes mad to the import and export of Korea the income compared to is to export and it is appearing a lot. The EU goods is sold more expensively the Korean goods than from about length being caused by American market of the dollar and the balance of trade of Korea is visible like being visible the improvement of single breadth. Because the relationship of competition is weak but substantially there is to a short term and expression - the effect where the dollar rate fluctuation is big in Korean trade there is a possibility of saying that widely known it is not.

• 산경연구논집
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• 제10권12호
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• pp.35-42
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• 2019

Purpose : This study examines The impact of human resource investment in internal control on stock price crash risk. Effective internal control ensures that information provided is complete and accurate, financial statements are reliable. By overseeing management, internal control systems can reduce agency costs between management and outside parties. In Korea, firms have to disclose information about internal control systems. The working experience of human resources in internal control systems is also provided for interested parties. If a firm hires more experienced internal control personnel, it can better facilitate the disclosure of information. Prior studies reported that information asymmetry between managers and investors increases future stock price crash risk. Therefore, the longer working experience internal control personnel have, the lower probability stock crashes have. Research design, data and methodology : This study analyzed the association between the working experience of internal control personnel and crash risk using regression analysis on KOSPI listed companies for fiscal years 2016 through 2017. The sample consists of 1,034 firm-years of non-financial firms whose fiscal year end on December 31. Career spanning data of internal control personnel was collected from internal control reports. The professionalism(IC_EXP) was measured as the logarithm of the average working experience of internal control personnel in months. Negative conditional skewness(NSKEW) and down-to-up volatility (DUVOL) are used to measure firm-specific crash risk. Both measures are based on firm-specific weekly returns derived from the expanded market model. Results : We find that work experience in internal control environment is negatively related to stock price crashes. Specifically, skewness(NSKEW) and volatility (DUVOL) are reduced when firms have longer tenure of human resources in internal control division. The results imply that firms with experienced internal control personnel are less likely to experience stock price crashes. Conclusions : Stock price crashes occur when investors realize that stock prices have been inflated due to information asymmetry. There is a learning effect when internal control processes are done repetitively. Thus, firms with more experienced internal control personnel could manage their internal control more effectively. The results of this study suggest that firms could decrease information asymmetry by investing in human resources for their internal control system.

• 유통과학연구
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• 제22권9호
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• pp.49-63
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• 2024

Purpose: This study examines how psychological heuristics influence stock price dynamics in Korea's distribution industry after significant price shocks. Research Design, Data, and Methodology: The study analyzes daily stock price movements exceeding 10% for Korean distribution companies from 1993 to 2022. It establishes anchoring heuristic reference points, including the 52-week high and low, and segments the sample based on company size and volatility. Results: We analyzed a sample previously studied by Lee et al. (2023). Our findings indicate that when a stock experiences a positive (negative) price shock near its 52-week high (or lowest price), investors in large (small) companies exhibit an optimism (pessimism) bias. This leads to overreactions and subsequent stock price reversals after the event date. Conversely, when a stock encounters a negative (positive) price shock near its 52-week high (or lowest price), investorstend to underreact due to anchoring heuristics. Thisresultsin a drift effect on the stock price after the event day. Notably, investor behavior around 52-week highs or lows directly impacts their heuristic behavior related to those price points. Conclusions: This paper uniquely examines behavioral biases among distribution-related stock investors in Korea, shedding light on stock price reversal and drift effects.

• Management Science and Financial Engineering
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• 제18권2호
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• pp.1-4
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• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• Journal of Information Technology Applications and Management
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• 제29권2호
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• pp.17-25
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• 2022

Although the two types of currencies compete, the possibility of a virtual currency price bubble is diagnosed by assuming an economic model with currencies (won, virtual currency) that are intrinsically worthless. The won is supplied by the central bank to achieve the price stability target, while the supply of virtual currency increases by a fixed number. According to the basic price theory equation, as a simple proposition, cryptocurrency prices form a Martin Gale process [Schilling and Uhlig, 2019, p.20]. Based on the existing theoretical proposition, we applied the variance ratio verification method [Linton and Smetanina, 2016] and a simple technical chart method for empirical analysis. For the purpose of this study, the possibility of a bubble was empirically analyzed by analyzing the price volatility formed in the Korean virtual currency market over the past year, and brief policy implications for this were presented.

• 한국정보시스템학회지:정보시스템연구
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• 제22권3호
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• pp.43-58
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• 2013

This work investigates factors that may affect the choice of real options by ERP project managers. Financial theory suggest that these factors include risk-free interest rate, time to maturity, volatility of net present value, and options exercise price. Other than these factors, we are interested in the exogenous risks related to external uncertainties about technological cost, user learning and consulting, and so forth and we argue these risks should have a significant impact upon the volatility of net present value. To validate these factors empirically, we collected survey questionnaires from ERP project managers in Korea. We find that perceived exogenous risks with regard to ERP projects influence volatility and additionally find that ERP project managers prefer contract options of the project when the volatility of the project is expected to be high. We expect that this work will not only validate theoretical propositions but help project managers consider ERP options strategically based on these factors.

• East Asian Economic Review
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• 제20권4호
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• pp.469-491
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• 2016

In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared. A key result from our analysis is that the long term effect of exchange rate movements on firm values is greater than the short term effect. And we find very similar results from using other exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control variable and find that the extent of exposure is not much changed. Third, we examine the changes in exposure to exchange rate volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than for exposure to exchange rate itself. Taken as a whole, our findings suggest that the socalled "exposure puzzle" may be a matter of the methodology used to measure exposure.