No analytic solution exists for the valuation of American options written on futures contracts
and foreign currencies for which early exercise may be optimal. This article formulates the …

This article investigates the improvement in the pricing of Korean KOSPI 200 index options
when stochastic volatility is taken into account. We compare empirical performances of four …

The early work of Black and Scholes, and Merton, made the connection between
conventional options and corporate liabilities. The standard textbooks now employ option-pricing …

We develop contingent claims valuation models for corporate bonds that are capable of
generating yield spreads consistent with the levels observed in practice. We incorporate …

We introduce a simple iterative method to determine the optimal exercise boundary for
American options, allowing us to compute the values of American options and their Greeks …

This paper has two aims. The first aim is to investigate whether poor corporate governance
negatively affects equity participation of foreign investors. The second aim is to investigate …

The usefulness of the jump component for pricing and hedging short‐term options is studied
for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that …

Over 100 papers were reviewed to elucidate factors influencing large-scale seawater
desalination plants with reverse osmosis networks (SWRO). This paper consists of subjects such …

In this paper we examine the structure of American option valuation problems and derive
the analytic valuation formulas under general underlying security price processes by an …

We examine the relationship between the controlling shareholder’s cash flow rights and the
funds transfer in the internal capital market within Korean business groups (chaebols) during …