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장순영,강상민 漢陽大學校 産業經營硏究所 2001 産業經營硏究 Vol.13 No.-
본 연구의 목적은 국제금융시장에서 활발히 활용되고 있는 이색옵션(Exotic option)의 한 종류인 Window옵션의 가격결정모형을 제시하고 분석하는 데 있다. Window 옵션이란 만기이전 특정일에 기초자산의 가격이 계약시에 결정된 범위(Window)내에 있을 때 옵션이 유효하게 되는 옵션을 의미한다. 본 연구에서는 폐쇄형가격결정모형에 의해 산출된 값을 이항가격결정모형에 의하여 산출된 값과 비교하여 수렴되는지를 살펴보았다. 그리고 이자율, 변동성, Window위치, Window 크기와 같은 주요 가격결정요소들이 Window옵션의 가격에 미치는 영향을 살펴보았다. 나아가 표준 Window옵션의 기본 성격을 변화시킨 확장형 Window옵션과 만기연장형 Window옵션의 폐쇄형가격결정모형을 제시하였다.
권선옥,박선미,장순영,전혜숙,정원혜,최혜옥 효성여자대학교 가정대학 학도호국단 1984 家政大論集 Vol.3 No.-
We estimated fingernail nitrogen content from children in a city, a farm village, a mountain village and a fishing village. Therefore, the result is as follow. In summer, nail nitrogen content was estimated 130.79±15.39mg/g in a city, 123.86±24.93mg/g in a farm village, 96.16±17.04mg/g in fishing village, 91.96±6.76mg/g in a mountain village. In winter was estimated 137.43ㄷ69.06mg/g in a city, 131.70±8.49mg/g in a farm village, 124.75±16.34mg/g in a fishing village, 115.81±6.36mg/g in a mountain village. According to this analysis, the nail nitrogen content lowered by turns a city, a farm village, a fishing village, a mountain village. The nitrogen contents of nails obtained in winter were found to be higher than those obtained in summer.
Comparative Statics of Best Equity-Adjusted Currency Hedge
Chang, Soon-Young 漢陽大學校 産業經營硏究所 2000 産業經營硏究 Vol.12 No.-
This study aims to provide in-depth comparative statics of Best Equity Adjusted Currency Hedge(BEACH). This paper makes theoretical interpretations of the effects of major option parameters on BEACH. Major option parameters include time to maturity, the base currency interest rate, foreign currency interest rate, volatility of exchange rate, volatility of foreign stock price, coefficient of correlation between foreign stock price and exchange rate. This study also presents numerical examples and finds that theoretical interpretations are supported.
Pricing of Best Currency-Adjusted Equity Hedge
Chang, Soon Young 漢陽大學校 産業經營硏究所 2001 産業經營硏究 Vol.13 No.-
This study aims to derive a closed-form pricing formula for best currency-adjusted equity hedge(BCAEH) by using the lemma proposed by Dravid, Richardson and Sun(1993). We construct the hedging portfolio consisting of foreign stock, foreign bond and domestic bond on the basis of pricing formula. We provide comparative statics of BCAEH to assess the impact of time to maturity, foreign currency interest rates and volatility of foreign stock price.
Chang, Soon Young 漢陽大學校 産業經營硏究所 2002 産業經營硏究 Vol.14 No.-
This study aims to make analysis of hedge fund industry. We review various definitions of hedge fund proposed by several researchers and institutions and conclude that definition provided by Merrill Lynch(2001) is best suited to represent the variety and complexity of hedge funds. We also provide a working taxonomy of hedge funds on the basis of investment strategy employed. In addition, we make performance analysis; risk-return analysis, correlation analysis and persistence analysis. We find that convertible arbitrage, long/short equity and distressed securities are good risk-adjusted performers and short selling and fixed income arbitrage strategies are negatively correlated to both equity and bond markets. We also find that hedge funds have relatively high degree of persistence.