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...

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...

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...

One of the most widely used option-valuation models among practitioners is the ad hoc Black-Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider three dividend strategies (No dividend, Implied-forward dividend, and Actual dividend) for the AHBS model...

This paper presents an analytic approximation formula for pricing zero-coupon bonds, when the dynamics of the short-term interest rate are driven by a one-factor mean-reverting process in which changes in the volatility of the interest rate are a function of the level of the interest rate

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...