PRICING STEP-UP OPTIONS USING LAPLACE TRANSFORM
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Jerim | - |
dc.contributor.author | Kim, Eyunghee | - |
dc.contributor.author | Kim, Changki | - |
dc.date.accessioned | 2021-08-31T16:22:09Z | - |
dc.date.available | 2021-08-31T16:22:09Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2020 | - |
dc.identifier.issn | 2734-1194 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/59126 | - |
dc.description.abstract | A step-up option is a newly developed financial instrument that simultaneously provides higher security and profitability. This paper introduces two step-up options: step-up type1 and step-up type2 options, and derives the option pricing formulas using the Laplace transform. We assume that the underlying equity price follows a regime-switching model that reflects the long-term maturity of these options. The option prices are calculated for the two types of funds, a pure stock fund composed of risky assets only and a mixed fund composed of stocks and bonds, to reflect possible variety in the fund underlying asset mix. The impact of changes in the model parameters on the option prices is analyzed. This paper provides information crucial to product developments. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | KOREAN SOC COMPUTATIONAL & APPLIED MATHEMATICS-KSCAM | - |
dc.subject | BARRIER OPTION | - |
dc.subject | VALUATION | - |
dc.title | PRICING STEP-UP OPTIONS USING LAPLACE TRANSFORM | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Changki | - |
dc.identifier.doi | 10.14317/jami.2020.439 | - |
dc.identifier.scopusid | 2-s2.0-85101097980 | - |
dc.identifier.wosid | 000586792500005 | - |
dc.identifier.bibliographicCitation | JOURNAL OF APPLIED MATHEMATICS & INFORMATICS, v.38, no.5-6, pp.439 - 461 | - |
dc.relation.isPartOf | JOURNAL OF APPLIED MATHEMATICS & INFORMATICS | - |
dc.citation.title | JOURNAL OF APPLIED MATHEMATICS & INFORMATICS | - |
dc.citation.volume | 38 | - |
dc.citation.number | 5-6 | - |
dc.citation.startPage | 439 | - |
dc.citation.endPage | 461 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002629329 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.subject.keywordPlus | BARRIER OPTION | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordAuthor | barrier option | - |
dc.subject.keywordAuthor | step-up option | - |
dc.subject.keywordAuthor | option pricing | - |
dc.subject.keywordAuthor | Laplace transform | - |
dc.subject.keywordAuthor | regime switching | - |
dc.subject.keywordAuthor | multi-barriers | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.