4 citations · 4 across the 14 of their papers we have counts for
12 papers · 1 filter
Influence of risk tolerance on long-term investments: A Malliavin calculus approach
Hyungbin Park
This study investigates the influence of risk tolerance on the expected utility in the long run. We estimate the extent to which the expected utility of optimal portfolios is affec…
Conditions for bubbles to arise under heterogeneous beliefs
Seunghyun Lee, Hyungbin Park
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of i…
Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition
Hyungbin Park
This paper investigates the large-time asymptotic behavior of the sensitivities of cash flows. In quantitative finance, the price of a cash flow is expressed in terms of a pricing…
Hedging short-maturity Asian options in local volatility models
Jiuk Jang, Jaehyun Kim, Hyungbin Park +1
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option havin…
A sensitivity analysis of the long-term expected utility of optimal portfolios
Hyungbin Park, Stephan Sturm
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given…
A representative agent model based on risk-neutral prices
Hyungbin Park
In this paper, we determine a representative agent model based on risk-neutral information. The main idea is that the pricing kernel is transition independent, which is supported b…
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung, Hyungbin Park
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference as…
Sensitivity Analysis of Long-Term Cash Flows
Hyungbin Park
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale ext…
The Martin Integral Representation of Markovian Pricing Kernels
Hyungbin Park
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To a…
The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels
Jihun Han, Hyungbin Park
The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relat…
Pricing and Hedging Long-Term Options
Hyungbin Park
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determin…
Ross Recovery with Recurrent and Transient Processes
Hyungbin Park
Recently, Ross showed that it is possible to recover an objective measure from a risk-neutral measure. His model assumes that there is a finite-state Markov process X that drives t…