One of the most widely used option valuation models among practitioners is the ad hoc Black-Scholes (AHBS) model. The main contribution of this paper is methodological. We carefully consider two rollover strategies (nearest-to-next strategy and next-to-next) used in the AHBS model to investigate...

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

This paper proposes a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. Given these two state-variable processes, closed-form expressions are derived for the zero-coupon...

Korean Abstract: 부실예측시 과거의 재무제표를 이용한 로지스틱 회귀모형 또는 주가를 이용한 옵션모형이 많이 사용되나 자료의 제약으로 모형의 유용성이 제약된다. 특히 국내의 경우 부도시점이 IMF사태 직후로 편중되어...

This paper documents that median holding period in structured products based on market index is less than a day from initial purchase to liquidation even for retail investors. Less than 6% of all series ever traded by retail investors are held until maturity. More importantly, buy-and-hold...

Using quarterly real GDP data from 2005 to 2019 for all U. S. states from the Bureau of Economic Analysis, we construct an economic inequality measure which is additively decomposable into within and between-region inequality. We find increases in economic disparity in terms of total real GDP...

We use a predictable change in the intraday volatility of index futures to identify the effect of stock returns on monetary policy. This identification approach relies on a weaker set of assumptions than required under identification through heteroskedasticity based on lower frequency data. Our...