Piecewise linear double barrier options

A piecewise linear double barrier option generalizes classical double barrier options because of its versatility in designing various double boundaries. This paper discusses how to price piecewise linear double barrier options. To this purpose, we derive the probability that an underlying process does not cross a given piecewise linear double barrier, where the underlying process follows the Brownian motion of piecewise constant drift. Using the established non-crossing probability, we provide the explicit pricing formulas of piecewise linear double barrier options and show how the shape of a double barrier affects the option prices through extensive numerical experiments.     

Identifying income heterogeneity determinants using the method of moments quantile regression

Prior studies have typically concentrated on poverty status to determine anti-poverty measures; however, this approach cannot sufficiently detect income heterogeneity. This study employs quantile regression for panel data to investigate the Korean Labour and Income Panel Study 2003–2020. Moreover, it adopts both household- and community-level variables and separates demographic groups as working-age and older adults, considering Korea's severe old-age poverty. The findings indicate that household-level characteristics, such as householder's gender, physical health, and employment status, present heterogeneous effects across the income distribution. Second, low-income households are more vulnerable to regional economic and labour market downturns than high-income neighbours. Lastly, although the National Pension, a backbone of the public pension system, provides limited supports for retirees because it was introduced much later than other countries, it assists low-income old adults more effectively. Therefore, this study suggests more tailored redistribution measures, considering heterogeneous effects of household- and community-level environments, and a further expansion of the National Pension to mitigate old-age poverty.     

Air Pollution and Housing Values in Korea: A Hedonic Analysis with Long-range Transboundary Pollution as an Instrument

Environmental and Resource Economics - We estimate the degree and scope of PM2.5-induced negative price shock in Korea’s local housing markets, taking a two-stage hedonic approach. For the...     

风险投资驱动企业“脱虚向实”了吗

近年来，企业金融化现象在学术界备受关注。国内外研究表明，风险投资对企业投资和企业创新均具有积极影响，那么风险投资能否影响企业金融投资行为？以2009—2019年沪深两市首次公开发行的A股上市公司为研究样本，实证分析风险投资对企业金融化的影响。结果表明：风险投资对企业金融化具有显著抑制作用，且这种抑制作用存在异质性。具体而言，风险投资对企业金融化的抑制效应主要体现在制造企业、盈利能力较弱企业、非国有企业以及东部区域企业中。同时，机构投资者持股比例越高，风险投资对企业金融化的抑制作用越强。机制分析结果表明，风险投资通过促进企业实体投资抑制企业金融化。进一步分析发现，风险投资能够缓解被投企业融资约束，而融资约束的改善并未促进企业金融化，而是促进企业创新。结论可丰富风险投资与企业金融化相关领域研究，证明风险投资能够驱动实体企业“脱虚向实”，对政府发展多层次资本市场，引导金融回归实体具有一定的参考价值。     

The role of observed and unobserved heterogeneity in the duration of unemployment

This paper studies the degree to which observable and unobservable worker characteristics account for the variation in the aggregate duration of unemployment. I model the distribution of unobserved worker heterogeneity as time varying to capture the interaction of latent attributes with changes in labor-market conditions. Unobserved heterogeneity is the main explanation for the duration dependence of unemployment hazards. Both cyclical and low-frequency variations in the mean duration of unemployment are mainly driven by one subgroup: workers who, for unobserved reasons, stay unemployed for a long time. In contrast, changes in the composition of observable characteristics of workers have negligible effects.     

URBAN REGENERATION IN SEOUL: Alternative Urbanism or the Resilience of Neoliberal Urbanism?

Park Won-soon, the former mayor of Seoul, put forward a new vision of Seoul as a progressive city, and one of his signatures was the promotion of a new urban regeneration policy called the Seoul-type Urban Regeneration Model (SUR). It was first presented as a solution to compressed and profit-oriented urban redevelopment but evolved into an alternative model which conveyed the worlding desire of the Seoul Metropolitan Government to redefine Asian urbanism beyond developmentalism or neoliberalism. In this article, we argue that the SUR demonstrates a mixture of post-developmentalist features and the lingering impact of neoliberal rationalities. Specifically, we problematize SUR's hybrid aspirations for urban competitiveness, improved quality of life and participatory governance by articulating how the pursuit of a globally competitive city conflicts with and overrides other values and how citizen-centered governance was exploited as an efficient mechanism of neoliberal urbanism.