• 한국경영과학회지
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• 제31권3호
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• pp.107-125
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• 2006

We introduce a two-stage game theoretic model to support decision making processes for product Positioning and pricing in competitive environment. In the first stage, firms decide on entry and product position, in the second stage, firms compete with price. 'Alpha rule' is used as a choice model. Demand parameters of the choice model are estimated by conjoint analysis. We investigate conditions for the existence of Nash price equilibria in the pricing game. Nash equilibria in the entry and positioning game are produced using a concept of stable sets. An example of the online game industry in Korea is examined.

• 재무관리논총
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• 제6권1호
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• pp.289-312
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• 2000

This paper proposes a pricing model for IPOs which can reconcile the average underpricing phenomenon with the expected wealth maximizing behaviors of market participants. Under the usual informational asymmetry, the optimal offer price for best efforts IPOs is derived as a function of the uncertainty about market's valuation, the expected return on proposed projects and the size of offerings relative to the firm's market value. Depending on these firm-specific characteristics, best efforts IPOs can be underpriced, fairly priced, or overpriced. Introducing the investment banker as an outside information producer, the model is extended to provide empirical implications for pricing and underwriting contract choice decisions which are consistent with the existing empirical evidences. The model predicts that the issuers with greater uncertainty about market's valuation choose best efforts contract over firm commitment contract and the dispersion of initial returns would be greater for best efforts IPOs than for firm commitment IPOs.

• 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.

• Journal of Communications and Networks
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• 제18권3호
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• pp.484-492
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• 2016

Smart grid (SG) technology is now elevating the conventional power grid system to one that functions more cooperatively, responsively, and economically. When applied in an SG the demand side management (DSM) technique can improve its reliability by dynamically changing electricity consumption or rescheduling it. In this paper, we propose a new SG scheduling scheme that uses the DSM technique. To achieve effective SG management, we adopt a mixed pricing strategy based on the Rubinstein-Stahl bargaining game and a repeated game model. The proposed game-based pricing strategy provides energy routing for effective energy sharing and allows consumers to make informed decisions regarding their power consumption. Our approach can encourage consumers to schedule their power consumption profiles independently while minimizing their payment and the peak-to-average ratio (PAR). Through a simulation study, it is demonstrated that the proposed scheme can obtain a better performance than other existing schemes in terms of power consumption, price, average payment, etc.

• 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.

• 대한수학회보
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• 제53권5호
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• pp.1411-1425
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• 2016

We provide a partial differential equation for European options on a stock whose price process follows a general geometric Riemannian Brownian motion. The existence and the uniqueness of solutions to the partial differential equation are investigated, and then an expression of the value for European options is obtained using the fundamental solution technique. Proper Riemannian metrics on the real number field can make the distribution of return rates of the stock induced by our model have the character of leptokurtosis and fat-tail; in addition, they can also explain option pricing bias and implied volatility smile (skew).

• Kyungpook Mathematical Journal
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• 제62권4호
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• pp.615-640
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• 2022

In this paper, we investigate a time-dependent double obstacle problem associated with the model of European call option pricing with transaction costs. We prove the existence and uniqueness of a W^2,1_p,loc solution to the problem. We then characterize the behavior of the free boundaries in terms of continuity and values of limit points.

• 한국철도학회논문집
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• 제10권2호
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• pp.137-145
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• 2007

In traditional financial theory, the discount cash flow model(DCF or NPV) operates as the basic framework for most analyses. In doing valuation analysis, the conventional view is that the net present value(NPV) of a project is the measure of the present value of expected net cash flows. Thus, investing in a positive(negative) NPV project will increase(decrease) firm value. Recently, this framework has come under some fire for failing to consider the options of the managerial flexibilities. Real option valuation(ROV) considers the managerial flexibility to make ongoing decisions regarding the implementation of investment projects and the deployment of real assets. The appeal of the framework is natural given the high degree of uncertainty that firms face in their technology investment decisions. This paper suggests an algorithm for estimating volatility of logarithmic cash flow returns of real assets based on the Black-Sholes option pricing model, the binomial option pricing model, and the Monte Carlo simulation. This paper uses those models to obtain point estimates of real option value with the G7- HSR350X(high-speed train).

• 응용통계연구
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• 제25권1호
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• pp.55-66
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• 2012

블랙-숄즈 모형이 실제 기초자산의 움직임을 반영하지 못한다는 사실이 실증연구에 의하여 밝혀진 이후 기초자산의 움직임을 레비확률과정을 이용하여 모형화한 옵션가격결정 모형들이 그 대안 중 하나로 연구되어 왔다. 본 논문에서는 블랙-숄즈 모형의 대안으로 제시된 레비모형 중 Variance Gamma 모형이 국내 주식시장에서의 기초자산의 움직임을 블랙-숄즈 모형보다 충실히 재현해내는지 알아보고자 한다. 이를 위하여 Madan 등 (1998)의 연구에서와 같이 로그수익률의 확률밀도함수와 옵션 가격 결정식을 바탕으로 KOSPI 200자료를 이용하여 모수를 추정하고 우도비 검정을 실시하였다. 또한, 옵션 가격을 추정한 후 모형 간의 비교를 위하여 다양한 통계량을 계산하고, 회귀분석을 통하여 변동성 스마일 현상이 교정되는지를 살펴보았다. 연구결과로부터 Variance Gamma 모형 하에서 추정된 옵션 가격이 블랙-숄즈 모형 하에서 추정된 그것보다 더 시장가격과 가까우나, 이 모형도 변동성 스마일 현상을 해결해주지는 못함을 확인할 수 있었다.

• 재무관리연구
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• 제24권4호
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• pp.1-43
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• 2007

전통적인 옵션가격결정모형인 블랙-숄즈 모형(Black-Scholes model)은 기초자산의 로그수익률(log-return)이 브라운운동(Brownian motion)을 따른다는 가정에 기반을 두고 있다. 그러나 이 가정은 현실적인 한계가 많은 것으로 비판을 받아 왔다. 이에 따라 지난 20여 년간 브라운 운동 이외에 새로운 확률과정을 도입한 모형들이 연구되고 도출되었다. 최근에는 레비과정(L$\acute{e}$vy process)에 기반한 모형들이 활발히 연구되어오고 있는데, 그 기원은 1994년 거버(Gerber)와 쉬우(Shiu)에 의한 거버-쉬우 모형(Gerber-Shiu model)이다. 2004년 치앙(Cheang)은, 거버-쉬우 모형이 하나의 레비과정을 가정한 데 비해, 복수의 독립적인 레비과정을 가정하여 옵션가격결정모형을 유도함으로써 거버-쉬우 모형을 추세(drift)와 도약(jump)을 갖는 경우로 확장할 수 있는 가능성을 제시하였다. 본 논문에서는 치앙의 모형을 이용하여 레비과정 하에서의 추세와 도약을 갖는 거버-쉬우 모형을 유도하였다. 여기에 감마분포를 도입하여 1993년에 도출된 헤스톤 모형(Heston model)에 도약을 도입한 형태의 모형을 유도하였다. 아울러 이렇게 유도된 모형에 대하여 KOSPI200 지수 옵션 자료를 사용해서 블랙-숄즈 모형과의 가격설명력을 비교하였다. 그 결과, 본 논문에서 유도된 모형이 블랙-숄즈 모형 이상의 가격설명력을 보이는 것으로 나타났다.