• Korean Journal of Construction Engineering and Management
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• v.15 no.1
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• pp.39-50
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• 2014

After the global financial crisis, domestic construction industry has gone through a rapid recession. This resulted in gradual market shift towards architectural remodeling. Architectural remodeling not only improves residential environment but it has many advantages such as increase of each unit's exclusive area, free space within the horizontal or extension of an annex building, and increase number of household through splitting the household of bigger pyeong, etc. However, in case of the Korean market for apartment remodeling, due to various regulations and problem with business promotion procedures, majority of business is slow despite the figure that remodeling volume is not that small. Also, feasibility study which decides to push ahead public house remodeling business will have a flaw using net present value's law; it has a flaw of not considering properties of each phase of remodeling business and future's uncertainty. Hence, this research will improve the problem of traditional value assessment method of net present value's law. It will also consider one of the real options such as binomial model in order to supplement NPV which is used in current feasibility study. This research was based on real successful cases of public house remodeling and it was possible for feasibility study which was more realistic and valid. This research provided foundation for development of Korean public house remodeling market. There is high anticipation of increasing the validity by improving the problems of current feasibility study and economic efficiency assessment.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.209-237
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• 2006

Since previous default forecasting models for the firms evaluate the probability of default based upon the accounting data from book values, they cannot reflect the changes in markets sensitively and they seem to lack theoretical background. The market-information based models, however, not only make use of market data for the default prediction, but also have strong theoretical background like Black-Scholes (1973) option theory. So, many firms recently use such market based model as KMV to forecast their default probabilities and to manage their credit risks. Korean firms also widely use the KMV model in which default point is defined by liquid debt plus 50% of fixed debt. Since the debt structures between Korean and American firms are significantly different, Korean firms should carefully use KMV model. In this study, we empirically investigate the importance of debt structure. In particular, we find the following facts: First, in Korea, fixed debts are more important than liquid debts in accurate prediction of default. Second, the percentage of fixed debt must be less than 20% when default point is calculated for Korean firms, which is different from the KMV. These facts give Korean firms some valuable implication about default forecasting and management of credit risk.

• Digital Contents
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• no.6 s.73
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• pp.64-67
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• 1999

고객들에게 정보를 제공하는 도서관 전문가로서 지금이 전자신문 접속 서비스를 제공할 때임을 결정했다면 어디서부터 시작해야 할 것인가? 어떤 표제를 준비해야 할지 어떻게 알 수 있을 것인가? 고객들이 필요로 하는 것을 찾기 위해 요구되는것은 무엇인가? 전자 기사에 접속할 수 있는 최선의 방법은 무엇인가? 비용은 얼마나 들 것인가? 정보제공업체 서비스를 이용하든지 전자신문에 직접 접속을 시작하든지 간에 이러한 질문과 그 밖에 다른 질문에 대한 해답을 얻어야 할 것이다. 이러한 논의는 오늘날의 시장에서 이용할 수 있는 다양한 옵션들을 평가하는데 도움을 주는 안내자 역할을 할 것이다.

• Journal of Service Research and Studies
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• v.14 no.1
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• pp.27-43
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• 2024

The market share of online platform services in the used car market continues to expand. And The used car online platform service provides service users with specifications of vehicles, accident history, inspection details, detailed options, and prices of used cars. SUV vehicle type's share in the domestic automobile market will be more than 50% in 2023, Sales of Hybrid vehicle type are doubled compared to last year. And these vehicle types are also gaining popularity in the used car market. Prior research has proposed a used car price prediction model by executing a Machine Learning model for all vehicles or vehicles by brand. On the other hand, the popularity of SUV and Hybrid vehicles in the domestic market continues to rise, but It was difficult to find a study that proposed a used car price prediction model for these vehicle type. This study selects a used car price prediction model by vehicle type using vehicle specifications and options for Sedans, SUV, and Hybrid vehicles produced by domestic brands. Accordingly, after selecting feature through the Lasso regression model, which is a feature selection, the ensemble model was sequentially executed with the same sampling, and the best model by vehicle type was selected. As a result, the best model for all models was selected as the CBR model, and the contribution and direction of the features were confirmed by visualizing Tree SHAP Value for the best model for each model. The implications of this study are expected to propose a used car price prediction model by vehicle type to sales officials using online platform services, confirm the attribution and direction of features, and help solve problems caused by asymmetry fo information between them.

• Communications for Statistical Applications and Methods
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• v.15 no.4
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• pp.563-585
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• 2008

This paper presents how to improve the efficiency and accuracy in the pricing and sensitivity evaluation for derivatives, since the need for the evaluation of complicated derivatives is increased. The Monte Carlo(MC) simulation using the quasi random number instead of pseudo random number can improve the elapsed time and accuracy for the valuation of European-type derivatives. However, the quasi MC simulation method has its limit for applying it in the multi-dimensional case such as American-type and path-dependent options due to the increased correlation between dimensions as the dimension of random numbers is increased. In order to complement this problem, we develop a modified method in which correlation values are controlled to be below a pre-specified value. Thus, this method is applicable for the pricing of either derivatives ill which underlying assets or risk factors are several or derivatives having path-dependent or early redemption property. Furthermore, we illustrate that it is important to take an appropriate grid interval for the use of finite difference method(FDM) by applying the FDM to one example of non-symmetrical butterfly spreads.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.1 no.2
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• pp.85-92
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• 2000

Warrants are often described as call potions written tv firms on their own stock. However, a call option is a pure side bet; i.e., none of the cash flows associated with the call's sale or exercise involves the firm. Issuing warrants on the other hand, can affect the firm's aggregate level of investment, composition of its capital structure. and the price of the stock on which warrant can be exercised. The problem of the warrant pricing can be solved by using of multivariate data analysis techniques, such as regression analysis or discriminant analysis, instead of OPM. The value of this approach is that we can evlauate the relative importance of each independent variable which affect a price of a warrant. This study empirically examines the Japanese warrant pricing by multiple regression analysis using a sample or 300 observations traded on Tokyo Stock Exchange during the periods between 1995 and 1996.

• Korean Journal of Construction Engineering and Management
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• v.11 no.6
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• pp.54-64
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• 2010

A firm decides to go to the project based on its investment analysis. However, the cash flows generated from the real project can not be always coincident with what expected as it follows uncertain behavior and the asymmetric payoff caused by the managerial flexibilities involved in the real asset affects the project value. Amongst various managerial flexibilities entailed in most of the real assets, although investment delay has been known to enhance the project value thanks to its ability to provide new market information to management, the related research to select the time to invest have been just few. Therefore, this research aims to show the theoretical framework to decide when to invest reflecting the behaviors of increasing project value and loss recovery cost due to investment delay with option pricing, related financial economic, and variational theories.

• Environmental and Resource Economics Review
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• v.19 no.4
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• pp.829-852
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• 2010

The investment in Clean Development Mechanism (CDM) projects is increasing rapidly as the first implementation period began in 2008. This paper examines on the optimal level of primary Certified Emission Reduction (CER) price, subsidiary original projects investment cost and expected issues CER per year, using UNFCCC CDM Project Design Document (PDD) data. Real option model is developed to incorporate a case where the investment is irreversible and underlying asset price is uncertainty. This study employs Real option approach which allow the optimal level regard as economic feasibility of CER price has analyzed with NPV (Net Present Value) and Black-Scholes call option(Real option) value. Finally, CER supply curve and price elasticity of supply are estimated.

• Asia-Pacific Journal of Business
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• v.14 no.2
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• pp.33-49
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• 2023

Purpose - The purpose of this study is to examine the option selection and optimal trading of informed traders in KOSPI 200 options market based on the PIN (probability of informed trading) model of Easley et al.(2002). Design/methodology/approach - This study uses TAQ (trade and quote) data provided by Korean Exchanges (KRX) which contains all the bids and trades recorded during the continuous auction trading hours for the KOSPI 200 options between May 2019 and September 2020. Findings - First, there was no difference in the PIN between call and put options in the 2019 data, but the PIN of put options was slightly higher in 2020. Second, regardless of the type of option, the PIN was higher for in-the-money (ITM) options, and the PIN of out-of-the-money (OTM) options was the same as or slightly higher than that of at-the-money (ATM) options. Third, we found that the PIN decreases as trading liquidity increases, and fourth, the PIN increased sharply as the expiration date approached, especially for OTM options, while ITM and ATM options showed relatively weak effects. Fifth, for foreign and institutional investors, the periodicity of orders was observed in milliseconds, especially for foreign investors, where the periodicity of orders was clear and frequent in OTM options. The results suggest that the purpose of option trading varies depending on the moneyness from the perspective of the informed trader.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.305-329
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• 2003

This work analyzes the influence of the dollar and yen currency on the rate of return of the individual firms and its symmetries based on the data from Jan. 5 1987 to Dec. 28, 2001. GARCH and autoregressive error models were used for on the daily data, due to the heteroscedascity and autoregression of the error terms, and as for the monthly data, this paper follows the autoregressive error models. Daily data fumed out to be a better explanatory variable in detecting exchange rate exposure, and EGARCH(1, 1) and GJR-GRARCH(1, 1) have higher competence in analyzing the daily data. Also, most of the exposed firms have been exposed in the negative region, and appreciation of exchange rate does not help enhancing the asset value of the domestic value. Analysis on the asymmetries let us conclude that high proportion of domestic firms face asymmetric exchange rate exposure, and that the pricing-to-market theory carries more conviction than the real option theory. Furthermore, monthly data are more precise in analysis of asymmetries.