• 대한수학회논문집
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• 제39권2호
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• pp.535-546
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• 2024

We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.

• 한국IT서비스학회지
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• 제13권2호
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• pp.151-161
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• 2014

KOSPI 200 index options market has the highest trading volume in the global options markets. The risk and return structure of options contracts are very complex. Volatility complicates options trading because volatility plays a central role in options pricing process. This study develops a trading system for KOSPI 200 index options trading using KOSPI 200 volatility index. We design a database system to handle the complex options information such as price, volume, maturity, strike price, and volatility using Oracle DBMS. We then develop options trading strategies to test how the volatility index is related to the prices of complicated options trading strategies. Back test procedure is presented with PL/SQL of Oracle DBMS. We simulate the suggested trading system using historical data set of KOSPI 200 index options from December 2008 to April 2012.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2004년도 학술발표논문집
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• pp.165-170
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• 2004

This paper will derive explicit unified pricing formulas for eight types of outside barrier options, respectively. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. The eight types of barrier options are up-and-in, up-and-out, down-and-in and down-and-out call (or put) options.

• 아태비즈니스연구
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• 제14권2호
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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.

• East Asian mathematical journal
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• 제40권1호
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• pp.63-74
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• 2024

Timer options are financial instruments proposed by Société Générale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.

• Journal of applied mathematics & informatics
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• 제32권5_6호
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• pp.665-673
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• 2014

Power options have payoffs that are determined by the price of the underlying asset raised to some power. In this paper, power options are considered under a regime-switching model which can capture complex asset dynamics by permitting switching between different regimes. The pricing formulas for the Laplace transforms of power options are obtained. The prices of power options are calculated using the formulas and compared with the results of the Monte Carlo simulation.

• 대한수학회논문집
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• 제33권1호
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• pp.345-360
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• 2018

In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

• 한국게임학회 논문지
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• 제11권2호
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• pp.13-18
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• 2011

시드마이어에 의하면 게임은 일련의 흥미로운 선택들이라고 하였다. 이는 흥미로운 선택들이 게임을 재미있게 만드는 주요 요인이란 의미이다. 본 논문에서는 게임에서 존재하는 흥미롭지 않는 선택대안을 게임플레이의 전략적 오류라 정의하고 이들 오류를 검출하는 방법을 제안하였다. 제안하는 방법은 게임이론에서 게임을 표현할 때 사용하는 보수행렬들을 검사하여, 게임플레이의 전략적 오류를 검출하는 방법이다. 이 방법은, 게임의 보수행렬들만 검사하는 경우에는, 적절한 대응전략이 없는 선택, 절대 우위 선택, 절대 열등 선택, 그리고 비슷한 보상이 이루어지는 선택들의 오류들을 검출할 수 있다. 그리고 게임의 보수행렬들과 대응하는 사용빈도율들을 함께 사용하는 경우에는, 추가적으로, 기대 보수가 매우 낮은 선택, 기대 보수가 매우 높은 선택, 사용확률이 매우 낮은 선택 그리고 사용확률이 매우 높은 선택들의 오류들을 검출할 수 있다.

• 대한수학회지
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• 제41권3호
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• pp.513-533
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• 2004

We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function-gamma of the options- is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland 〔11〕 and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. 〔10〕, Avellaneda and Paras 〔1〕. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller's and buyer's position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.

• 식품보건융합연구
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• 제5권5호
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• pp.27-31
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• 2019

Meniere's disease (MD) is a disease that affects the inner ear. It is formed as a result of endolymphatic hydrops. Hearing loss and vertigo are important in the diagnosis of MD. There is fluctuating and progressive hearing loss. Vertigo attacks cause severe dizziness in the patient. There are many treatment options in MD. These are hearing aid, diet, medication and surgery. In this study, we will discuss the advantages and disadvantages of the different treatment options. Treatment options have been compared to find out what the appropriate treatment is. Another concern is the importance of surgery in MD. This study is combination of qualitative and quantitative studies. Much focus will be on vertigo, and appropriate treatment options of MD will be mentioned also the importance of surgery. The main question in this study is the necessity of surgery. Surgical procedures are the most doubtful treatment option because of their indications and contraindications. In this study, it has been noticed that surgical operation should be delayed as much as possible. Priority is to try other treatment options. Surgery can be considered as a last resort. When we look at the operations performed, operations are mostly done in advanced Meniere cases.