2017년 제2차 물산업 지식연구회 - 회원사간 협업을 위한 보유기술 소개 -

◦ 행사명 : 2017년 제2차 물산업 지식연구회 ◦ 일 시 : 2017년 12월 13일(수) 15:00 ~ ◦ 주요내용 : 1. 중소기업의 물산업 해외시장 진출 전략(삼보기술단 도중호 부사장) 2. 4차 산업혁명시대 4세대 상하수도 기술개발 방향(K-water 이두진 박사) 3. 회원사간 협업을 위한 보유기술 소개(시노펙스 배광일 센터장

주가의 행태와 옵션에 관한 연구

학위논문(박사) - 한국과학기술원 : 경영공학과, 2010.08, [ v, 90 p. ]This paper provides three essays on stock price behavior and options. The first chapter suggests that stable distribution is related to the phenomena of intermediate term momentum and long term reversal. Although there are several papers about non-normality of financial data, normal distribution is still the most popular distribution, which can lead overuse of normal distribution and misunderstanding the nature of financial data. Or frequent occurrence of extreme events can make momentum. The second chapter derives approximate valuation formulas for basket options and Asian options under the jump-diffusion process. To obtain an approximation for options prices under the jump-diffusion process, we extend the Taylor expansion method developed by Ju (2002) under the diffusion process. We show that the Taylor expansion method suggested in this paper provides the best pricing performance among log-normal, four-moment, and Taylor expansion approximations, in general. The performance improvement using the Taylor expansion method increases as time to maturity increases. In addition, accounting for jump effects becomes important when jumps are asymmetric. The final chapter provides that the executive’s incentives to increase the stock price can be very low on some ranges of the stock price. So we propose a new stock option compensation whose payoffs are concave with respect to the stock price when the stock price at option’s maturity exceeds the strike price. This kind of options allows the executive to have greater incentives compared with the traditional option model. In addition, the incentives at some time (after the grant date) might not be optimal even though the firm chose the moneyness of the option that gave the executive the optimal incentives on the grant date.한국과학기술원 : 경영공학과