DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jang, BG | - |
dc.contributor.author | Roh, KH | - |
dc.date.accessioned | 2016-04-01T03:32:32Z | - |
dc.date.available | 2016-04-01T03:32:32Z | - |
dc.date.created | 2010-03-03 | - |
dc.date.issued | 2009-01 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.other | 2010-OAK-0000020065 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/26590 | - |
dc.description.abstract | We find a closed-form formula for valuing a time-switch option where its underlying asset is affected by a stochastically changing market environment, and apply it to the valuation of other qualitative options such as corridor options and options in foreign exchange markets. The stochastic market environment is modeled as a Markov regime-switching process. This analytic formula provides us with a rapid and accurate scheme for valuing qualitative options with stochastic volatility. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.relation.isPartOf | QUANTITATIVE FINANCE | - |
dc.subject | Stochastic volatility | - |
dc.subject | Regime-switching environment | - |
dc.subject | Alternative investment | - |
dc.subject | Qualitative option | - |
dc.subject | Corridor option | - |
dc.subject | REGIME | - |
dc.subject | VALUATION | - |
dc.title | Valuing qualitative options with stochastic volatility | - |
dc.type | Article | - |
dc.contributor.college | 산업경영공학과 | - |
dc.identifier.doi | 10.1080/14697680802629392 | - |
dc.author.google | Jang, BG | - |
dc.author.google | Roh, KH | - |
dc.relation.volume | 9 | - |
dc.relation.issue | 7 | - |
dc.relation.startpage | 819 | - |
dc.relation.lastpage | 825 | - |
dc.contributor.id | 10058545 | - |
dc.relation.journal | QUANTITATIVE FINANCE | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCIE | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | QUANTITATIVE FINANCE, v.9, no.7, pp.819 - 825 | - |
dc.identifier.wosid | 000273766300005 | - |
dc.date.tcdate | 2019-02-01 | - |
dc.citation.endPage | 825 | - |
dc.citation.number | 7 | - |
dc.citation.startPage | 819 | - |
dc.citation.title | QUANTITATIVE FINANCE | - |
dc.citation.volume | 9 | - |
dc.contributor.affiliatedAuthor | Jang, BG | - |
dc.identifier.scopusid | 2-s2.0-79956075428 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 1 | - |
dc.description.scptc | 1 | * |
dc.date.scptcdate | 2018-05-121 | * |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Stochastic volatility | - |
dc.subject.keywordAuthor | Regime-switching environment | - |
dc.subject.keywordAuthor | Alternative investment | - |
dc.subject.keywordAuthor | Qualitative option | - |
dc.subject.keywordAuthor | Corridor option | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
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