General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations

no code implementations • 11 Mar 2022 • Hyong-Chol O, Tae-Song Choe

These results are used in the study of a structural model of pricing puttable bond with credit risk.

Solution Representations of Solving Problems for the Black-Scholes equations and Application to the Pricing Options on Bond with Credit Risk

no code implementations • 17 Aug 2021 • Hyong-Chol O, Tae-Song Kim, Tae-Song Choe

The simplest case of the structural model of the credit bond is studied and its pricing formula is provided, and based on the results, the pricing model of option on corporate bond with credit risk is transformed into a terminal boundary value problem of the Black-Scholes equation with some special maturity payoff functions and the solution formula is obtained.

Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications

no code implementations • 11 Mar 2019 • Hyong-Chol O, Dae-Sung Choe

In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the maturity payoff related to a power function and the density function of normal distribution is derived.

Variational inequality for perpetual American option price and convergence to the solution of the difference equation

no code implementations • 11 Mar 2019 • Hyong-Chol O, Song-San Jo

A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered.