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The Effectiveness of a Predictor-corrector Technique in European Currency Option Valuation
Sangwoo Heo,Jinsuk Yang,SeungCheol Lim,Peter Cashel-Cordo 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4
In this work, we adopt a predictor-corrector technique to examine the accuracy of the Fractional Black-Scholes (FBS) model. Compared to the standard Black-Scholes (B-S) model, FBS model involves one additional parameter, a Hurst value (H) providing information whether the time series exhibits persistent or anti-persistent behavior. The FBS model, as a result, has been shown to provide more accurate predictions of option price [Heo et al. (2017) and reference therein]. Estimation accuracy of volatility and H values are key to better option price estimates. However, volatility and Hurst values are unknown prior to the closing time; consequently, the estimation of option prices relies heavily on the accuracy of volatilities and Hurst parameter estimation. In this study we compare option price estimation accuracy using three variations of calculating H values, and two volatility measures. We estimate two H values using historic data using one-month data (21 trading days) and three-month data (63 trading days), respectively, and by using predicted volatility estimates obtained using a binomial method, as a predictor and then used them to estimate implied H values. We subsequently correct the predicted volatility measure using the implied H value, the predictor-corrector technique. We investigate the accuracy of these FBS models and examine effectiveness of this predictor-corrector technique using Euro currency option (XDE) data traded in NASDAQ from November 2007 to June 2016.
Valuation of NDX Index Call Options with Fractional Black-Scholes Model
Sangwoo Heo,Joon Park,Yalçın Sarol 사람과세계경영학회 2009 Global Business and Finance Review Vol.14 No.2
This study compares the accuracy between the fractional Black-Scholes (FBS) option pricing model and the Black-Scholes (B-S) option pricing model using NASDAQ-100 (NDX) index call options data for the period of four years from January 2004 to December 2007. The degree of accuracy is measured by moneyness, variance estimate, and maturity. Although the accuracy of the FBS model is sensitive to Hurst parameter (H), the parameter is not directly observed. We recover the H value from the FBS model which depends on variance estimates. Because the FBS model has two unknown parameters, volatility and the Hurst parameter, we propose model predicting option prices to estimate H values using the implied volatility. We find that the FBS model outperforms the B-S model across the board. In particular, there is a great advantage of using the FBS model with historical volatility.
Park, Sangwoo,Heo, Dakyeong,Shin, Dongwoo Korean Marketing Association 2019 ASIA MARKETING JOURNAL Vol.21 No.1
To investigate the interplay between individual and collective self-regulations, the authors propose a dialectic process that describes the changes in the locus of self-regulations between individual self and collective self. The results from three studies display a strong support for the two sets of hypotheses drawn from the proposed process. Our findings demonstrate that consumers can move the locus of self-regulation from individual-self to collective-self when a social identity is activated (preliminary study and study1). Further examination of regulatory swing between individual and collective regulatory orientations revealed group identification as a key variable in determining the locus of self-regulation (study2). While a consumer with a high level of group identification changes her locus of self-regulation from an individual to a collective (a regulatory shift) and evaluated messages and products framed consistent with their group orientation, a consumer with low level of group identification maintains her locus of self-regulation in her personal level of self (a regulatory preservation) and evaluated messages and products framed consistent with their personal regulatory focus.
Performance Analysis of Array Processing Techniques for GNSS Receivers under Array Uncertainties
Lee, Sangwoo,Heo, Moon-Beom,Sin, Cheonsig,Kim, Sunwoo The Institute of Positioning 2017 Journal of Positioning, Navigation, and Timing Vol.6 No.2
In this study, the effect of the steering vector model mismatch due to array uncertainties on the performance of array processing was analyzed through simulation, along with the alleviation of the model mismatch effect depending on array calibration. To increase the reliability of the simulation results, the actual steering vector of the array antenna obtained by electromagnetic simulation was used along with the Jahn's channel model, which is an experimental channel model. Based on the analysis of the power spectrum for each direction, beam pattern, and the signal-to-interference-plus-noise ratio of the beamformer output, the performance deterioration of array processing due to array uncertainties was examined, and the performance improvement of array processing through array calibration was also examined.