Zobrazeno 1 - 10
of 70
pro vyhledávání: '"Bong-Gyu Jang"'
Autor:
Bong-Gyu Jang, Hyeng Keun Koo
Publikováno v:
Seonmul yeongu, Vol 32, Iss 2, Pp 86-115 (2024)
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the
Externí odkaz:
https://doaj.org/article/20d3cb5a78c54dd6a8af0f6b5ccfded3
Publikováno v:
Seonmul yeongu, Vol 29, Iss 2, Pp 116-133 (2021)
Purpose – This paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea business-cycle expansion and contraction regimes characterized by the OE
Externí odkaz:
https://doaj.org/article/3e41162f96ba42619f3dd2c7d6e996c1
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::030de5c478984c5456eb8ec6a067ce31
https://doi.org/10.2139/ssrn.4435859
https://doi.org/10.2139/ssrn.4435859
Publikováno v:
Journal of Derivatives and Quantitative Studies: 선물연구. 29:116-133
Purpose This paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea business-cycle expansion and contraction regimes characterized by the OECD r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19203f851ec4c9541ca17ed883b2f525
https://doi.org/10.1108/jdqs-11-2020-0027
https://doi.org/10.1108/jdqs-11-2020-0027
Publikováno v:
European Financial Management. 28:208-232
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a27642e5313175737a4c7b6a770e1ce5
https://doi.org/10.1111/eufm.12303
https://doi.org/10.1111/eufm.12303
Publikováno v:
Insurance: Mathematics and Economics. 94:25-39
In this paper, we study optimal retirement in a two-dimensional incomplete market caused by borrowing constraints and forced unemployment risk. We show that the two aspects jointly affect an individual’s optimal consumption, investment, and retirem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f22193fbac5a12c072a07b558c0c84b
https://doi.org/10.1016/j.insmatheco.2020.06.002
https://doi.org/10.1016/j.insmatheco.2020.06.002
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::71bf406ee3c3fee0cc0ed3ef9477aba1
https://doi.org/10.2139/ssrn.4253205
https://doi.org/10.2139/ssrn.4253205
Publikováno v:
Operations Research Letters. 48:549-551
We generalize the result of Yaari (1965) on annuitization with borrowing constraint. We show that inability to borrow against future labor income has a significant influence on an individual’s consumption and asset allocation strategies. We also sh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c62306385cdb2218b268c3ecd95ce0e
https://doi.org/10.1016/j.orl.2020.06.007
https://doi.org/10.1016/j.orl.2020.06.007
Publikováno v:
Finance Research Letters. 48:102894
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a4d78070d7518f4ff3da3a5954ccdc8
https://doi.org/10.1016/j.frl.2022.102894
https://doi.org/10.1016/j.frl.2022.102894
Publikováno v:
SSRN Electronic Journal.
We adopt the semicovariance decomposition method and machine-learning models to forecast the realized correlation and realized volatility of oil and gold futures markets. The general framework consists of three steps: data preprocessing, accumulating
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f815d6cfd5804a481dd455164481e811
https://doi.org/10.2139/ssrn.3787938
https://doi.org/10.2139/ssrn.3787938