Computational economics

Pusan National University Researchers Study the Analytic Pricing Formulas of Vulnerable Timer Options

Retrieved on: 
Thursday, October 26, 2023
Investment banking, Pusan National University, Research, Exercise, Department of Mathematics, University of Manchester, Risk management, COVID-19, Monte Carlo, Investment, Computational economics, Associate, Security (finance), Mathematics

BUSAN, South Korea, Oct. 26, 2023 /PRNewswire/ -- A timer option is a financial instrument, launched by Société Générale Corporate and Investment Banking in 2007, that allows buyers to specify the level of volatility and allows them to exercise their option at a random maturity time. In other words, the payoff of the timer option depends only on a random date determined by the time needed to realize a prescribed variance budget for the underlying asset. This is contrary to vanilla options, which are always exercised at a fixed, predetermined price within a given timeframe.

Key Points: 
  • This is contrary to vanilla options, which are always exercised at a fixed, predetermined price within a given timeframe.
  • Against this backdrop, a team of researchers from Korea, led by Associate Professor Ji-Hun Yoon from the Department of Mathematics at Pusan National University, has recently investigated the pricing of vulnerable timer options (VTOs)—or options that are prone to such credit risks.
  • Additionally, they analyzed the pricing accuracy of their analytic formulas and compared them with the solutions obtained from Monte Carlo simulations.
  • Additionally, future studies can build upon these findings to shed light on the pricing of path-dependent timer options, such as barrier options and floating strike lookback options, ultimately enhancing the profitability for option holders.

Pusan National University 'Talks Money' with Novel Approach for Pricing Risky Options

Retrieved on: 
Tuesday, September 21, 2021
Economics, Pusan National University, Computational economics, Insurance, Department of Mathematics, University of Manchester, Associate, Korea, National university, Solution, South Korea, Department, Risk management, Renewable energy

A group of researchers, led by Dr. Ji-Hun Yoon from Pusan National University, have successfully arrived at a Mellin transform approach to address this mathematical problem, according to a pioneering study published in Computational Economics.

Key Points: 
  • A group of researchers, led by Dr. Ji-Hun Yoon from Pusan National University, have successfully arrived at a Mellin transform approach to address this mathematical problem, according to a pioneering study published in Computational Economics.
  • The study was led by Dr. Ji-Hun Yoon, who is an Associate Professor at the Department of Mathematics, in Pusan National University, Republic of Korea.
  • As these advantages result in shorter computational times, our approach can be applied to the pricing of diverse financial derivatives."
  • The world can hope that this study significantly impacts the financial decisions of all stakeholders, particularly in options pricing.