Journal of Derivatives and Quantitative Studies: 선물연구: Volume 19 Issue 4 , Open Access
Subjects:
Table of contents
Derivatives Use, Firm Value, Risk and Determinants: Evidence of Korean Firms
Taek Ho Kwon, Rae Soo Park, Uk ChangIn this paper we analyze the incentives of derivatives usage and its effect on the risk management and value of firms in Korea. We find that Korean non-financial firms use…
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Office Price Index for Derivative Using S&P/Case-Shiller Estimator
Kang Min Ryu, Soo Hoon Park, Chang Moo LeePeople are starting to doubt business recovery in office market after global financial crisis in 2008. And most institutional and individual portfolios are undiversified in real…
15
Monte Carlo Greeks Using the WKB Approximation
Suk Joon Byun, Jun Sik KimIn Kampen et al.(2008), Monte Carlo estimators obtained by the WKB (Wentzel, Brillouin, Kramers) approximation had better results than Monte Carlo estimators obtained by the…
8
FDM Algorithm for Pricing of ELS with Exit-Probability
Yongsik Kim, Hyeong-Ohk Bae, Hyunseok RohWe propose a new numerical algorithm for pricing the Equity linked Security which is a financial derivative. Our algorithm utilizes FDM with the Exit-Probability. Through…
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