• Management & Information Systems Review
• /
• v.28 no.3
• /
• pp.25-44
• /
• 2009

The purpose of this paper is to examine the determinants which cause a price differential between common and preferred stock. Prior studies have shown that variables like liquidity, size, the number of outstanding shares issued can explain the price differential between common and preferred stock price. Based on year 2006 through year 2008 data, we analyzed the determinants using regression model. Dummy variables representing large/small company and KSE/KOSDAQ respectively are added and analyzed as independent variables. The firm size, trade volume turnover, and the number of preferred shares to total outstanding shares were proved to make influence on the price differential under the 5% significance level. Especially, we have found the number of preferred shares to total outstanding shares provide the most strong relationship with the price differential. This means that a high ratio of preferred stock to total outstanding shares leads to relatively high value of common stock and causes a big price differential.

• Journal of the Korea Institute of Information and Communication Engineering
• /
• v.25 no.4
• /
• pp.501-507
• /
• 2021

Neural networks with differentiable activation functions are differentiable with respect to input variables. We improve the approximation capability of neural networks by using the gradient and Hessian of neural networks to satisfy the differential equations of the problems of interest. We apply differential neural networks to the pricing of financial options, where stochastic differential equations and the Black-Scholes partial differential equation represent the differential relation of price of option and underlying assets, and the first and second derivatives of option price play an important role in financial engineering. The proposed neural network learns - (a) the sample paths of option prices generated by stochastic differential equations and (b) the Black-Scholes equation at each time and asset price. Experimental results show that the proposed method gives accurate option values and the first and second derivatives.

• Bulletin of the Korean Mathematical Society
• /
• v.37 no.3
• /
• pp.451-459
• /
• 2000

In this paper, we observe the relation between the attainability of contingent claims and solutions of associated difference-differential equations. And we find the lower bound estimate of fair price using the minimax statistical approach.

• East Asian Economic Review
• /
• v.16 no.3
• /
• pp.249-272
• /
• 2012

This paper examines how a Korean automobile firm price-discriminates between the Korean and the U.S. markets. We argue that a Korean automobile firm's pricing behavior depends on the differences in price elasticity over the segmented markets between the countries. Our findings are that differences in price elasticity may help explain why a medium-class car's price is higher in Korea than that in the U.S. while a small-sized car's price is higher in the U.S. than in Korea, which implies that a Korean automobile firm $3^{rd}$ degree price-discriminates on the same or similar products between Korea and the U.S. This type of $3^{rd}$ degree price discrimination differs from a typical home-bias effect (charging higher prices to domestic consumers) because a small-sized car which is produced domestically sells at higher price abroad. This finding can be added as a source that violates the law of one price.

• The Journal of Fisheries Business Administration
• /
• v.40 no.1
• /
• pp.133-152
• /
• 2009

The purpose of this paper is to model price formation and analyze demand structures for fishes under the restriction of Korean fisheries regulations. This study suggests the model that the price of fish is formed by its quantity, expenditure, and habit persistence. In economic literature, such a fishery market demand is called the inverse demand with dynamic habit persistence. Based upon a static differential price formation model, the paper has generalized it dynamically incorporating habit persistence effects. The empirical results show that all the species have values less than one and (-) sign of price flexibilities, thus being price inflexible. The estimated habit adjustment coefficients are significant at the level of 1%. Especially, TAC species have the smaller values of them than those of other main fish species. The contribution and results are summarized as follows. First, the fishery market demand has a strong dynamic effects from habit persistence. Second, the fishery market demand structure could be analyzed in a way different from the ordinary demand analysis, which is based upon price flexibility, scale flexibility, and cross adjustment flexibility. Third, the limitation of this paper is that it ignores the increasing stock effects by catching restrictions, thus raising consumers' benefit in the future.

• Journal of Korean Society for Geospatial Information Science
• /
• v.11 no.4 s.27
• /
• pp.29-34
• /
• 2003

The purpose of this study is to present the price computation criteria with the aspect of price policy for the geographical information circulation. The price policy is to make activated circulation for geographical information. The price policy of this research considered the supplier and the user side at the same time. Important issue of price policy is that initial cost for system development calculate burying cost, and preservation and renewal cost charge to user. Distribution cost of geographical information charge to user according to use media, and apply differential rates of cost according to the purpose of using, up-to-dateness of data. Also, present the price policy that must apply copyright fee to of offer geographical information. Consider various terms that was studied in this study, the price computation criteria was presented. Through this, it is expected that geographical information circulation is activated more.

• Bulletin of the Korean Mathematical Society
• /
• v.48 no.4
• /
• pp.791-812
• /
• 2011

This is a survey on American options. An American option allows its owner the privilege of early exercise, whereas a European option can be exercised only at expiration. Because of this early exercise privilege American option pricing involves an optimal stopping problem; the price of an American option is given as a free boundary value problem associated with a Black-Scholes type partial differential equation. Up until now there is no simple closed-form solution to the problem, but there have been a variety of approaches which contribute to the understanding of the properties of the price and the early exercise boundary. These approaches typically provide numerical or approximate analytic methods to find the price and the boundary. Topics included in this survey are early approaches(trees, finite difference schemes, and quasi-analytic methods), an analytic method of lines and randomization, a homotopy method, analytic approximation of early exercise boundaries, Monte Carlo methods, and relatively recent topics such as model uncertainty, backward stochastic differential equations, and real options. We also provide open problems whose answers are expected to contribute to American option pricing.

• Proceedings of the KIPE Conference
• /
• 1999.07a
• /
• pp.218-221
• /
• 1999

We introduce the systematization design method using similarity theory which is profitable in the compatability, the reduction of construction time and price. The design method can make us predict the characteristic experiment for the magnitude we desire as the expression equation applied continuously. We can induce the design sample the user demand with the verification of the data on optimum design previously. Therefore, in case of designing and developing the products, systematization design method is very useful for the standardization of the developed goods, compatability, the reduction of construction time and price. In this paper, we presented the analogical algorithms of systematization design using similarity theory, design factors and processing method of the restriction factors. Also, we analyzed the output voltage in terms of input voltage and displacement as choosing a differential transformer as the model.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.31 no.2D
• /
• pp.303-314
• /
• 2011

This paper proposes a differential pricing model for industrial land based on locational characteristics, using Support Vector Regression (SVR) as a land pricing methodology. The initial selling price of industrial land is set based on the total cost of site development that comprises the land acquisition cost and tax, land development expense, infrastructure installation cost, labor cost, migration expense, selling and administrative expense, capital cost, and so on. However, the current industrial land pricing method unreasonably applies the same price per square meter to all parcels within an industrial complex without considering differences in price depending on the location of each parcel. Therefore, this paper proposes an empirical land pricing model to solve this irrationality and verifies its validity and applicability.

• Journal of applied mathematics & informatics
• /
• v.41 no.1
• /
• pp.33-50
• /
• 2023

Foreign exchange options are derivative financial instruments that can exchange one currency for another at a prescribed exchange rate on a specified date. In this study, we examine the analytic formulas for vulnerable foreign exchange options based on multi-scale stochastic volatility driven by two diffusion processes: a fast mean-reverting process and a slow mean-reverting process. In particular, we take advantage of the asymptotic analysis and the technique of the Mellin transform on the partial differential equation (PDE) with respect to the option price, to derive approximated prices that are combined with a leading order price and two correction term prices. To verify the price accuracy of the approximated solutions, we utilize the Monte Carlo method. Furthermore, in the numerical experiments, we investigate the behaviors of the vulnerable foreign exchange options prices in terms of model parameters and the sensitivities of the stochastic volatility factors to the option price.