• Title/Summary/Keyword: Option Trade

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A Study on Vertical Separation Regarding Paperless Trade Infrastructure (전자무역기반시설의 구조 분리에 관한 연구)

  • Roh, Jae-Whak
    • International Commerce and Information Review
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    • v.8 no.3
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    • pp.121-142
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    • 2006
  • Recently regarding the ownership and proper operational forms of paperless trade infrastructure has become an issue. In this research the structural separation approach, different from the behavioral regulation approach, has been adopted. Following the structural separation, the core e-trade infrastructure which is separated from a vertically integrated provider, can be operated by three different forms such as a private sector; a public sector; finally a consortium among participants. As another option, the separated whole infrastructure including both core and non-core can be operated by a independent private entity. However, this option is not interesting case to us. As the last option, it can be considered that a new wholesale independent company for the separated core-infra can be set up for running. Additionally, three other alternative ways such as accounting separation, division separation, or corporation separation with keeping same ownership are also demonstrated. However the cautious investigation on cost and benefits of vertical separation are strongly recommended by OECD and agrees with the conclusion of this study.

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Water, Energy, and Food Nexus: Preserving Local Resources through Inter-Basin Trade

  • Wicaksono, Albert;Jeong, Gimoon;Kang, Doosun
    • Proceedings of the Korea Water Resources Association Conference
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    • 2018.05a
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    • pp.153-153
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    • 2018
  • Water-Energy-Food (WEF) nexus is a new holistic resources management concept that considers the interconnections among resources for sustainable resources planning and management. The current challenge is to fulfill the required demand in the lack of available resources. A traditional way to provide more available resource is by increase in production, but it caused increment of indirect demand of other interlinked resources. Importing resources from other area (where local supply is redundant) is another option to secure local resources with additional economic expenditure. The WEF nexus-trading model adapts the previously developed nationwide nexus simulation model with additional input parameters and functions to simulate trading scenarios. In general, the analysis starts with the quantification of local resources deficit (potential importing amount) and redundancy (potential exporting amount) of each area. Then, a trade module is initiated by determining possible donor area and importation amount. Finally, the nexus simulation for all area is re-run to determine final resources supply-demand results including the trading amount. The trade option provides an opportunity to meet local demands without draining local resources. However, the production capability of donor area may limit the importation amount. The newly developed trade option allows more alternatives for stakeholders to determine resources management plans.

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HEDGING OPTION PORTFOLIOS WITH TRANSACTION COSTS AND BANDWIDTH

  • KIM, SEKI
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.4 no.2
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    • pp.77-84
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    • 2000
  • Black-Scholes equation arising from option pricing in the presence of cost in trading the underlying asset is derived. The transaction cost is chosen precisely and generalized to reflect the trade in the real world. Furthermore the concept of the bandwidth is introduced to obtain the better rehedging. The model with bandwidth derived in this paper can be used to calculate the more accurate option price numerically even if it is nonlinear and more complicated than the models shown before.

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A design of automatic trading system by dynamic symbol using global variables (전역 변수를 이용한 유동 심볼 자동 주문 시스템의 설계)

  • Ko, Young Hoon;Kim, Yoon Sang
    • Journal of Korea Society of Digital Industry and Information Management
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    • v.6 no.3
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    • pp.211-219
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    • 2010
  • This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

A Free Trade Area of the Asia Pacific (FTAAP): Is It Desirable?

  • Kim, Sangkyom;Park, Innwon;Park, Soonchan
    • East Asian Economic Review
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    • v.17 no.1
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    • pp.3-25
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    • 2013
  • This paper evaluates whether the proposed FTAAP is a desirable policy option for APEC member economies and the world economy. More specifically, this paper qualitatively investigates whether the FTAAP satisfies conditions for a trade bloc to generate positive and sufficient net trade creation effect. In addition, this paper estimates the likely impact of the FTAAP by using a CGE model analysis. From the qualitative analysis based on statistical data, this paper strongly argues that the FTAAP can be a desirable regional trade bloc able to generate positive gains from freer trade. From the ex-ante scenario analysis using both static and capital accumulation CGE Models, this paper concludes that the FTAAP has great potential for improving welfare of participating APEC economies and will boost economic growth in the region. In particular, the FTAAP would be even better if it can be linked with liberalization of trade in services and enhanced trade facilitation.

The Trade Disputes between Korea and China, and Its Preventive Measures of Korea (한.중 통상분쟁의 해결과 한국의 대응)

  • Lee, Sing-Young;Lee, Keon-Hyeong
    • Journal of Arbitration Studies
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    • v.17 no.3
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    • pp.81-99
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    • 2007
  • The purpose of this paper is to analyze trade disputes between Korea and China in terms of broad industrial policy concept and to derive some solution. It provide first a historical overview of the basic theory for the trade policy in the developing countries to see how the trade policy evolved the different stage of option and then try to highlight features of China's trade policy development after the capitalization. An attempt is also made to review the trade dispute in Kimchi in order to identify what are the underlying reasons for policy failure. Finally, we will try to suggest trade strategy with major policy directions which could be relevant for trade development of Korea today. The trade dispute issue with China has been newly coined referring to Korea's weakening economic stance among the two powerful Asians countries, China and Korea has always been closed partners geographically and economically. The study has stressed that the Koreans should not recoil from the trade crisis but to consider it as an opportunity. Rapidly growing Chinese manufacturing industry has heightened the importance of trade between Korea and China, indicating conversion in specialization from vertical to horizontal, according to the economic research so far. This paper has proposed strategy to cope with any trade disputes between Korea and China.

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A Study on the Central Bank's Foreign Exchange Market Intervention Strategies with OTC Currency Option Market (중앙은행의 OTC 통화옵션시장을 활용한 외환시장 개입 전략에 관한 연구)

  • Jae-Kwan Park
    • Korea Trade Review
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    • v.47 no.2
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    • pp.103-120
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    • 2022
  • This paper studies the possibility of options as an instrument for central bank to intervene foreign exchange market. As opposed to spot transaction or forward transaction, which impacts spot exchange rate only once, currency options can continuously resist a directional speculative pressure on spot market due to the dynamic delta hedging of OTC currency options market maker. This research also analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that short position rather than long position in options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a "Strangle" allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential. Therefore these kinds of intervention strategies must be used in the short run and temporarily.

An Experimental Study on Internal and External Negotiation for Trade Agreements

  • Sung, Hankyoung
    • East Asian Economic Review
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    • v.21 no.2
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    • pp.103-121
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    • 2017
  • This paper experimentally studies the performance of negotiation considering individual and party, like a country, share of benefit over the best ones. It experiments two-stage bargaining games, internal and external negotiations. From the experimental results, this paper shows strong tendency to select fair allocation in the internal negotiations, but the tendency would be weaker with attractive outside option. In addition, the outside option may claim difference in individual benefit. From the regressions on individual performance in the negotiations, being a proposing party would matter to enhance the performance. However, relative individual performance within party fairness matters. Still attractive no-agreement options happen to break the tendency. As policy implication for trade negotiation, this paper warns that possible loss in individual benefit from not active participation to the external negotiations, no active role of proposer in case that players stick to internal allocations, and deviation of advantageous sector due to attractive outside options.

ALTERNATIVE NUMERICAL APPROACHES TO THE JUMP-DIFFUSION OPTION VALUATION

  • CHOI BYUNG WOOK;KI HO SAM;LEE MI YOUNG
    • Journal of applied mathematics & informatics
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    • v.17 no.1_2_3
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    • pp.519-536
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    • 2005
  • The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ibanez and Zapareto [14] to the problem of American option pricing when the jumps are allowed. Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.

SME Profitability of Trade Credit during and after a Financial Crisis: Evidence from Korea

  • KWON, Ohsung;HAN, Seung Hun;LEE, Duk Hee
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.7
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    • pp.35-47
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    • 2020
  • An economic downturn can occurred through unexpected events in various fields, such as the subprime mortgage crisis and the outbreak of Coronavirus Disease-2019 (COVID-19). Trade credit is important for small- and medium-sized enterprises (SMEs), especially during a monetary contraction, as it is the last option for firms that lack bank credit. This study aims to determine whether trade credit is profitable for the buyer and supplier firms during and after a financial crisis. We use panel data consisting of all trade credit transactions and financial statements of 5,751 Korean firms during the period 2008-2012. It shows that trade credit is more profitable for both buyers and suppliers in the post-crisis period than during the crisis. Moreover, trade payable is more effective for unconstrained buyers than for constrained buyers. Finally, a mixed strategy is superior to an aggressive or passive strategy of SMEs. The results suggest less profitability of trade credit during a period of contraction and greater sensitivity of the buyer SMEs, emphasizing the idiosyncratic liquidity strategy of each firm. This study can be helpful to develop a strategy of profitable trade credit for SMEs and to establish a policy of managing liquidity for the authority.