Journal of Derivatives and Quantitative Studies: 선물연구: Volume 31 Issue 1 , Open Access

How does the price structure of two-sided markets affect transaction volume and market share: evidence from the Korean credit card market

Yoonseo Jo, Kaun Y. Lee

This study aims to empirically examine the impact of the price structure of two-sided markets on transaction volume and market share (MS) in the context of the Korean credit card…

Capital immobility and rollover risk in debt markets

Hyun Soo Doh

This paper aims to develop a credit-risk model in which firms face rollover risk, and the markets for defaulted assets are segmented due to entry costs. The paper shows that…

Stock buybacks and credit default swap spread changes

Heewoo Park, Yuen Jung Park

The authors investigate whether the effects of stock buyback announcements on credit default swap (CDS) spread changes for US firms depend on macroeconomic conditions. The authors…

Valuation of step-down knock-in in one stock linked security using numerical and Monte Carlo integration

GyeHong Kim

This paper shows a new methodology for evaluating the value and sensitivity of autocall knock-in type equity-linked securities. While the existing evaluation methods, Monte Carlo…