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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ji Hee Yoon | - |
| dc.contributor.author | Jang, BG | - |
| dc.contributor.author | Kum-Hwan Rho | - |
| dc.date.accessioned | 2016-03-31T09:10:48Z | - |
| dc.date.available | 2016-03-31T09:10:48Z | - |
| dc.date.created | 2012-03-14 | - |
| dc.date.issued | 2011-05 | - |
| dc.identifier.issn | 0167-6377 | - |
| dc.identifier.other | 2011-OAK-0000024906 | - |
| dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/16772 | - |
| dc.description.abstract | In this paper, we provide an analytic valuation method for European-type contingent claims written on multiple assets in a stochastic market environment. We employ a two-state Markov regime-switching volatility in order to reflect stochastically changing market conditions. The method is developed by exploiting the probability density of the occupation time for which the underlying asset processes are in a certain regime during a time period. In order to show its usefulness, we derive analytic valuation formulas for quanto options and exchange options with two underlying assets, as examples. (C) 2011 Elsevier B.V. All rights reserved. | - |
| dc.description.statementofresponsibility | X | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER SCIENCE BV | - |
| dc.relation.isPartOf | OPERATIONS RESEARCH LETTERS | - |
| dc.subject | Multivariate contingent claim | - |
| dc.subject | Derivative pricing | - |
| dc.subject | Regime switch | - |
| dc.subject | Business cycle | - |
| dc.subject | Stochastic volatility | - |
| dc.subject | STOCHASTIC VOLATILITY | - |
| dc.subject | STOCK RETURNS | - |
| dc.subject | OPTIONS | - |
| dc.subject | ASSET | - |
| dc.subject | MODEL | - |
| dc.subject | SHIFTS | - |
| dc.subject | TIME | - |
| dc.title | An analytic valuation method for multivariate contingent claims with regime-switching volatilities | - |
| dc.type | Article | - |
| dc.contributor.college | 산업경영공학과 | - |
| dc.identifier.doi | 10.1016/J.ORL.2011.02.010 | - |
| dc.author.google | Yoon, JH | - |
| dc.author.google | Jang, BG | - |
| dc.author.google | Roh, KH | - |
| dc.relation.volume | 39 | - |
| dc.relation.issue | 3 | - |
| dc.relation.startpage | 180 | - |
| dc.relation.lastpage | 187 | - |
| dc.contributor.id | 10058545 | - |
| dc.relation.journal | OPERATIONS RESEARCH LETTERS | - |
| dc.relation.index | SCI급, SCOPUS 등재논문 | - |
| dc.relation.sci | SCI | - |
| dc.collections.name | Journal Papers | - |
| dc.type.rims | ART | - |
| dc.identifier.bibliographicCitation | OPERATIONS RESEARCH LETTERS, v.39, no.3, pp.180 - 187 | - |
| dc.identifier.wosid | 000291779300003 | - |
| dc.date.tcdate | 2019-01-01 | - |
| dc.citation.endPage | 187 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 180 | - |
| dc.citation.title | OPERATIONS RESEARCH LETTERS | - |
| dc.citation.volume | 39 | - |
| dc.contributor.affiliatedAuthor | Jang, BG | - |
| dc.identifier.scopusid | 2-s2.0-79956118499 | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalClass | 1 | - |
| dc.description.wostc | 6 | - |
| dc.description.scptc | 7 | * |
| dc.date.scptcdate | 2018-05-121 | * |
| dc.type.docType | Article | - |
| dc.subject.keywordAuthor | Multivariate contingent claim | - |
| dc.subject.keywordAuthor | Derivative pricing | - |
| dc.subject.keywordAuthor | Regime switch | - |
| dc.subject.keywordAuthor | Business cycle | - |
| dc.subject.keywordAuthor | Stochastic volatility | - |
| dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Operations Research & Management Science | - |
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Related Researcher
- 장봉규JANG, BONG GYU
- Dept. of Industrial & Management Eng.