• Industrial Engineering and Management Systems
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• 제12권2호
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• pp.85-94
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• 2013

This research investigates the supply chain contract between a distributor and a supplier in which the selling period is relatively short in comparison with long production lead time. At the first stage, supplier who is a Stackelberg leader offers the distributor a contract with a set of parameters, and subjected to those parameters, the distributor places the number of initial orders as well as options. In order to purchase the option, the distributor pays non-linear option premium price with respect to the number of purchased options. At the second stage, based on realized demand, the distributor has the right to exercise option as either put or call which is limited up to the number of purchased options. The wholesale price contract is used as a benchmarking contract. This research has confirmed that the supply chain contract with a non-linear option premium price can help to coordinate the supply chain.

• 응용통계연구
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• 제21권5호
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• pp.755-763
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• 2008

This paper approaches the problem of option pricing in an incomplete market, where the underlying asset price process follows a compound Poisson model. We assume that the price process follows a compound Poisson model under an equivalent martingale measure and it converges weakly to the Black-Scholes model. First, we express the option price as the expectation of the discounted payoff and expand it at the Black-Scholes price to obtain a pricing formula with three unknown parameters. Then we estimate those parameters using the market option data. This method can use the option data on the same stock with different expiration dates and different strike prices.

• 충청수학회지
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• 제33권2호
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• pp.181-195
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• 2020

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

• 한국의류산업학회지
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• 제26권3호
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• pp.239-250
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• 2024

This study aims to investigate the factors influencing donation intention when the option to donate is presented during a purchase decision. Through an experimental design, we examined how price differences and reference group effects impact donation intention. We created stimuli with three price difference conditions (high, low, and control) and two levels of referent power (high and low), and involved 480 Korean consumer panels in the experiments. After controlling for psychological reactance levels, a two-way MANCOVA confirmed the main effects of price difference and referent power but found no interaction effect between these variables. Notably, consumers were less likely to feel guilty for not selecting the donation option when its price was slightly higher than that of the non-donation option, compared to the scenario where the prices were the same. Additionally, consumers exposed to high referent power experienced greater irritation, guilt, and shame if they did not choose the donation option compared to the low referent power group. Multiple regression results showed that guilt significantly influenced the intention to purchase a donation option, whereas irritation and shame did not. These findings suggest that understanding situational factors such as price differences and referent power can help develop effective marketing strategies and encourage voluntary participation in donations.

• Journal of applied mathematics & informatics
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• 제4권2호
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• pp.379-386
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• 1997

This paper considers the price at time zero of a contingent claim when the process is a diffusion/point process model . And we apply this price to European option.

• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.237-256
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• 2007

This paper studies the problem of option pricing in an incomplete market. The market incompleteness comes from the discontinuity of the underlying asset price process which is, in particular, assumed to be a compound Poisson process. To find a reasonable price for a European contingent claim, we first find the unique minimal martingale measure and get a price by taking an expectation of the payoff under this measure. To get a closed-form price, we use an asymptotic expansion. In case where the minimal martingale measure is a signed measure, we use a sequence of martingale measures (probability measures) that converges to the equivalent martingale measure in the limit to compute the price. Again, we get a closed form of asymptotic option price. It is the Black-Scholes price and a correction term, when the distribution of the return process has nonzero skewness up to the first order.

• 응용통계연구
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• 제29권1호
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• pp.181-192
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• 2016

옵션의 가격을 결정하는 문제에서 블랙-숄즈 모형이 가지는 단점을 보완하기 위해 블랙-숄즈 가격을 선도항으로 하여 보정항을 구하는 근사적 옵션가격의 결정방법을 고려하였다. 이러한 근사적 가격결정 방법들은 비교적 적은 자료를 가지고 간단한 계산으로 다양한 형태의 위험중립 확률분포에 의한 옵션가격을 계산할 수 있다. 이 논문에서는 일반적으로 관찰되는 시장상황을 모사한 모의실험과 실제 시장에서 관측되는 KOSPI200 옵션가격 자료를 통해 몇 가지 근사방법들의 적합성과를 비교, 평가하였다. 헤르미트 다항식 계열의 Edgeworth 확장과 A-type Gram-Charlier, C-type Gram-Charlier 방법, NIG 분포를 이용하는 방법, 비선형 회귀를 이용한 점근적 근사방법이 고려되었다. 모의실험에서는 순수 점프 레비 확률과정 가운데 옵션가격이 닫힌 해의 형태로 존재하는 Variance gamma 과정을 가정하여 자료를 생성하였다. 모의실험과 실제 자료분석의 결과, 분포함수를 먼저 근사하여 가격을 계산하는 것보다 근사적 가격식을 유도하여 직접 가격을 근사하는 방법들의 성능이 좀 더 좋았으며, 그 가운데 비선형 회귀를 이용한 점근적 근사방법이 상대적으로 좋은 성능을 보였다.

• 응용통계연구
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• 제24권4호
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• pp.721-733
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• 2011

We consider the state price densities that are implicit in financial asset prices. In the pricing of an option, the state price density is proportional to the second derivative of the option pricing function and this relationship together with no arbitrage principle imposes restrictions on the pricing function such as monotonicity and convexity. Since the state price density is a proper density function and most of the shape constraints are caused by this, we propose to estimate the state price density directly by specifying candidate densities in a flexible nonparametric way and applying methods of regularization under extra constraints. The problem is easy to solve and the resulting state price density estimates satisfy all the restrictions required by economic theory.

• 대한수학회보
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• 제39권4호
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• pp.705-714
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• 2002

We consider a jump-diffusion model generated by a Levy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-scholes model when the former converges weakly to the latter.

• East Asian mathematical journal
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• 제34권3호
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• pp.239-248
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• 2018

In this paper, we derive a closed-form formula of a second-order approximation for a European corrected option price under stochastic elasticity of variance model mentioned in Kim et al. (2014) [1] [J.-H. Kim, J Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black-Scholes formula, Appl. Stoch. Model. Bus. 30 (2014)]. To find the explicit-form correction to the option price, we use Mellin transform approaches.