Search

Your search keyword '"Lee, Sang Bin"' showing total 678 results
Start Over Author "Lee, Sang Bin"
678 results on '"Lee, Sang Bin"'

176. A unified credit and interest rate arbitrage-free contingent claim model

Author

Ho, Thomas S.Y. and Lee, Sang Bin

Subjects
Swaps (Finance), Company pricing policy, Banking, finance and accounting industries, Business
Abstract

The authors have used an interest rate stochastic movement model, or the Ho--Lee model, to evaluate interest contingent claims. Once the interest rate binomial process can be specified under the [...]

Published
2009

177. Generalized Ho-Lee model: a multi-factor state-time dependent implied volatility function approach

Author

Ho, Thomas S.Y. and Lee, Sang Bin

Subjects
Lattice theory -- Usage, Interest rates -- Models, Binomial theorem -- Usage, Banking, finance and accounting industries, Business
Abstract

This article presents an arbitrage-free binomial lattice interest rate model. The model uses a state- and time-dependent implied volatility function. This function captures from the swaption volatility surface not just [...]

Published
2007

178. Price limits and stock market efficiency

Author

Lee, Sang Bin and Chung, Jee Seok

Subjects
South Korea -- Securities, Stock-exchange, Stocks -- Prices and rates, Regression analysis -- Usage, Banking, finance and accounting industries, Business
Abstract

Analysis of the relationship between stock price limits and stock market efficiency using the Korean stock market as a model shows that there exists a positive link between the two variables. Using regression analysis, it is shown that unusual flexibility or movement of stocks is effected through price limits which, unfortunately, also affects the potential of the stock market to perform at peak efficiency.

Published
1996

181. The effect of price limits on stock price volatility: empirical evidence in Korea

Author

Lee, Sang-Bin and Kim, Kwang-Jung

Subjects
Korea -- Securities, Stock Market Crash, 1987 -- Economic aspects, Stocks -- Prices and rates, Banking, finance and accounting industries, Business
Abstract

The 1987 stock market crash generated renewed interest in stock price volatility. Particular focus was given to 'noise,' where volatility is not conditioned by fundamental value changes. Minimal evidence has been gathered to support circuit breaker mechanisms as tools to prevent another crash. Research in Korea's securities markets on price limit portfolios showed that such limits decreased stock price volatility.

Published
1995

182. A closed-form multifactor binomial interest rate model

Author

Ho, Thomas S.Y. and Lee, Sang Bin

Subjects
Probabilities -- Usage, Interest rates -- Analysis, Banking, finance and accounting industries, Business
Abstract

We have made tremendous progress in the past 20 years in developing interest rate models that exhibit arbitrage-free movements. Many interest rate models have been proposed to value interest rate-contingent [...]

Published
2004

183. Does the October 1987 crash strengthen the co-movements among national stock markets?

Author

Lee, Sang Bin and Kim, Kwang Jung

Subjects
Stock Market Crash, 1987 -- Research -- International aspects, Stock-exchange -- International aspects -- Research, Investors -- Research, Banking, finance and accounting industries, Economics, International aspects, Research
Abstract

I. Introduction Early research on the synchronization among stock prices across countries focused on the benefits of international diversification in reducing systematic portfolio risk [Agmon (1972), Lessard (1973), Panton, Lessig, [...]

Published
1994

184. Does the October 1987 crash strengthen the co-movements among national stock markets?

Author

Lee, Sang Bin and Kim, Kwang Jung

Subjects
Stock Market Crash, 1987 -- Evaluation -- Research -- International aspects, Stock-exchange -- Research -- International aspects, Banking, finance and accounting industries, Economics, Evaluation, International aspects, Research
Abstract

I. Introduction Early research on the synchronization among stock prices across countries focused on the benefits of international diversification in reducing systematic portfolio risk [Agmon (1972), Lessard (1973), Panton, Lessig, [...]

Published
1993

Catalog

Books, media, physical & digital resources
See catalog results