Earticle

초록

영어

Psychological barriers are prevalent among various asset classes and it is important to consider their impacts on the prices of derivative securities. This paper shows the potential existence of such barriers on the S&P 500 Index and examines their impacts on the rate of return and the volatility of the index. It focuses on deriving analytic European option prices under the assumption that the dynamics of the stock price follow a threshold model; this paper also evaluates this model’s empirical performance in comparison with the Black- Scholes model and the constant elasticity of variance (CEV) model. The in-sample calibration result of the threshold model is found to be much superior. Furthermore it is found that the model provides an efficient hedging method in terms of dollar-value hedging errors.

목차

Abstract

키워드

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea ]
• Changki Kim [ Korea University Business School, Seoul, Korea ]
• Kyeong Tae Kim [ Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea ]
• Seungkyu Lee [ Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea ]
• Dong-Hoon Shin [ Department of Global Finance and Banking, Inha University, Incheon, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330