Journal of Derivatives and Quantitative Studies: 선물연구: Volume 26 Issue 3 , Open Access

Analytical Approximations of American Call Options with Discrete Dividends

Kwangil Bae

In this study, we assume that stock prices follow piecewise geometric Brownian motion, a variant of geometric Brownian motion except the ex-dividend date, and find pricing…

Cross Section of KOSPI Returns Based on Cash Flow Risk Factors

Sungjeh Moon, Joonhyuk Song

This paper introduces two risk factors which are the covariance between long-run consumption growth and cash flows and the duration of cash flow, and investigates how these…

The Influence of CME Futures Market on KRX Gold Market

Myeong-Hoon Yeom, Jihun Kim

KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean…

The Effect of Ambiguity Aversion on Precautionary Effort

Jimin Hong

This study analyzes the effect of ambiguity aversion on precautionary effort under a two period model when background risk like income risk is added to loss. Precautionary effort…