• The Pure and Applied Mathematics
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• v.21 no.4
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• pp.307-316
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• 2014

We prove the existence of the risk-efficient options proposed by Xu [7]. The proof is given by both indirect and direct ways. Schied [6] showed the existence of the optimal solution of equation (2.1). The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.

• East Asian mathematical journal
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• v.32 no.3
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• pp.301-310
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• 2016

Lookback options, in the terminology of nance, are a type of exotic option with path dependency whose the payoff depends on the optimal (maximum or minimum) underlying asset's price occurring over the life of the option. In this paper, we exploit Mellin transform techniques to find a closed-form solution for European lookback options in Black-Scholes model.

• Proceedings of the Korean Statistical Society Conference
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• 2005.11a
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• pp.153-158
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• 2005

A floating-strike lookback call option gives the holder the right to buy at the lowest price of the underlying asset. Similarly, a floating-strike lookback put option gives the holder the right to sell at the highest price. This paper will derive explicit pricing formulas for these floating-strike lookback options with flexible monitoring periods. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity.

• Journal of Korean Institute of Industrial Engineers
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• v.32 no.3
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• pp.180-190
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• 2006

We evaluate the economic value and the optimal investment timing of IMT-2000 in Korea, in the perspective of a service provider who owns the business license for IMT-2000, by using the real options analysis. The result clearly shows the project value with options is positive and delaying the investment is more favorable to the provider. Binomial lattice approach, in which we try to describe American call option and sequential compound option, and sensitivity analysis present the optimal decisions according to future states and enable the management to make decision strategically and proactively.

• Proceedings of the Korea Technology Innovation Society Conference
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• 2001.11a
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• pp.307-337
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• 2001

In this paper, we propose the valuation frame of the IT(Information Technology) ventures using ROV(Real Options Valuation) model. Generally, ROV can comprises the traditional valuation method such as DCF(Discounted Cash Flow), which can measure only the tangible value of a firm from the expected future earnings, in that ROV can additionally measure the intangible value such as the strategic value of a firm in the uncertain environment. We set up the hypothetic IT venture future investment plan and assume that there are a growth option and a switching option consequently along the investment time horizon, which are caused by each characteristics of ventures and IT technologies, especially modularity. In the case that there are several embedded real options in the firm's investment plan in a row, we should apply the compound option pricing model as a real option valuation model in order to consider the value interaction between real options. In an addition, we present the results of optimal investment timing analysis using real options approach and compare them. with those of the original assumed investment timing.

• Journal of the Korean Operations Research and Management Science Society
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• v.26 no.4
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• pp.83-97
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• 2001

Net Present Value (NPV) criterion has been the most widely used criterion to evaluate investment opportunities. However, the analysis based on the NPV criterion falls to consider the managerial flexibility of deferring decisions until major uncertainty is resolved. Recently, real options method attracted a lot of attention as a Powerful approach to address the problem. If investment decision is deferred, the value of the investment opportunity increases but opportunity cost increases at the same time. Therefore, it is important to decide the optimal timing how long the decision can be deferred. In this paper, we developed a model deciding the optimal decision timing. Using the real options approach, the model derived the optimal deferring time until a decision is made. Then, the model was applied to a Korean mobile telecommunications company who wants to invest on the wireless resale business. We believe that this model would be very useful to overcome the problem of NPV decision criterion. With this approach, we can make contingent decisions based on the observation of uncertainly resolutions.

• Communications of the Korean Mathematical Society
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• v.28 no.2
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• pp.397-406
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• 2013

We present an improved binomial method for pricing European- and American-type Asian options based on the arithmetic average of the prices of the underlying asset. At each node of the tree we propose a simple algorithm to choose the representative averages among all the effective averages. Then the backward valuation process and the interpolation are performed to compute the price of the option. The simulation results for European and American Asian options show that the proposed method gives much more accurate price than other recent lattice methods with less computational effort.

• Communications for Statistical Applications and Methods
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• v.11 no.2
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• pp.213-225
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• 2004

A fixed-strike lookback option is an option whose payoff is determined by the maximum (or minimum) price of the underlying asset within the option's life. Under the Black-Scholes framework, the time-t price of an equity asset follows a geometric Brownian motion. Applying the method of Esscher transforms, this paper will derive explicit pricing formulas for fixed-strike lookback call and put options, respectively. In addition, this paper will show a relationship (duality property) between the pricing formulas of the call and put options. Finally, this paper will derive explicit pricing formulas for the fixed-strike lookback options when their underlying asset pays dividends continuously at a rate proportional to its price.

• Asian Journal of Innovation and Policy
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• v.6 no.2
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• pp.225-244
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• 2017

When evaluating the economic value of technology or business project, we need to consider the period and cost for commercialization. Since the discounted cash flow (DCF) method has limitations in that it can not consider consecutive investment or does not reflect the probabilistic property of commercialization cost, we often take it desirable to apply the concept of real options with key metrics of underlying asset value, commercialization cost, and volatility, while regarding the value of technology and investment as the opportunity value. We at this moment provide more elaborated real options model with the effective region of volatility, which reflects the uncertainty in the option pricing model (OPM).

• 제어로봇시스템학회:학술대회논문집
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• 2001.10a
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• pp.106.1-106
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• 2001

American options no doubt is invariably more popular than European options, due to the fact that it gives the owner the option to exercise a contract before and up to the expiration date, unlike an European option, which only allows the owner to exercise a contract on the date of expiration. Owing to its popularity, many methods like the binomial numerical method and the pseudo American method have been devised for computing of the value of the American options. The aim of this research is to develop an effective 3-dimensional visualization for American option portfolio based on the Geske-Roll-Whaley model. It is obvious that it is extremely tedious and unadvisable for researchers to interprte chunks of data by looking at graphs or pie charts, which are simple but not effective for analyzing important dta. Hence, the generation of the Geske-Roll-Whaley ...