An efficient approximation method for American exotic options

The authors suggest a modified quadratic approximation scheme, and apply this scheme to American barrier (knock‐out) and floating‐strike lookback options. This modified scheme introduces an additional parameter into the quadratic approximation method, originally suggested by G. Barone‐Adesi and R. Whaley (1987), to reduce pricing errors. When the barrier is close to the underlying asset's current price, the approximation formula is more accurate than lattice methods because the optimal exercise boundary is independent of the underlying asset's current price. That is, the proposed method overcomes the “near‐barrier” problem that occurs in lattice methods. In addition, the pricing error decreases when the underlying asset's volatility is high. This approximation scheme is more efficient than B. Gao, J. Huang, and M. Subrahmanyam's (2000) method. As a second application of the modified approximation scheme, the authors provide an approximation formula for American floating‐strike lookback options which is the first approximation formula ever suggested in the literature. Compared to S. Babbs' (2000) binomial approach, our approximation method is more efficient after controlling for pricing errors, and is more accurate after controlling for computing time. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:29–59, 2007     

Is it important to consider the jump component for pricing and hedging short‐term options?

The usefulness of the jump component for pricing and hedging short‐term options is studied for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that jumps have only a marginal effect and stochastic volatility is of the most importance. There is evidence of jumps in the underlying index but no evidence of jumps in the corresponding index options. However, these results may not be valid for individual equity options. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:989–1009, 2005     

Theory‐based approach to factors affecting ethical consumption

The main objective of this study is to introduce and validate a new model of ethical consumption intention with the aim of identifying salient factors that influence consumer's attitude and purchase intention towards ethical products. For this purpose, this study introduces an extended model of the theory of reasoned action, which embraces the emotional component (positive anticipated affection) and socially oriented value component (altruism), as predictors of ethical consumption attitude and intention. Using a questionnaire‐based survey, the data were collected from 343 respondents who had previously purchased ethical products. The result showed that ethical obligation, self‐identity and altruism were positively related to consumer attitude towards ethical consumption. Also, ethical obligation and altruism were found to positively influence ethical consumption intention. Further, attitude and positive‐anticipated affection positively affected ethical consumption intention.     

Exploring Japanese consumers’ cultural meanings and consumption of American fashion

The purpose of this research is to explore how Japanese consumers perceive American fashion and how this perception is related to the purchase of American fashion products based on Consumer Culture Theory. For this research, cultural meanings of American fashion in Japanese fashion market were collected and analyzed using a thematic analysis method through Japanese consumers’ online postings and discussions. Results showed Japanese consumers perceived American fashion to (1) be economical/causal and lack fashion sense, (2) have different fashion trends for celebrities and general population, and (3) be individualistic without obvious fashion trends. This research also found Japanese consumers preferred American fashion for four reasons: (1) preference for American casual fashion styles, (2) emulation of existing styles of American celebrities, (3) availability of styles and sizes for non-regular Japanese body size, and (4) unique fashion styles rare in the Japanese fashion market. On the other hand, Japanese consumers identified various reasons why they are reluctant to consume American fashion. Three reasons include (1) different styles, (2) different aesthetics views due to different body sizes, and (3) reluctance to conform to current American fashion styles in the Japanese fashion market.     

Double-edged effect of talent management on organizational performance: the moderating role of HRM investments

Abstract

More than a decade after the publication of the book The War for Talent, there has been growing interest in the role of talent management in achieving organizational success. Although past studies have empirically investigated the role of talent management and its positive association with organizational performance, few studies have integrated the bright and dark sides of talent management. Using a sample of 444 firms in South Korea, this study finds that talent management has a double-edged effect on firm outcomes, including innovation and voluntary turnover rate. Moreover, it finds that the effect of talent management considerably varies across organizational contexts. Specifically, this study identifies the conditions under which the negative role of talent management changes across different levels of human resource management investments. Demonstrating the dual direct effect and contextual effect of talent management, this study provides reference for future studies on talent management, specifically those that aim to discover the mechanisms influencing the distinguished role of talent management in organizational outcomes. This study further discusses the theoretical and practical implications.     

Roles of a hospital for community safety promotion

It is not easy for any health professional to be aware of injury problems and safety issues within their own communities if their main responsibility is not in this field. Health professionals, however, can play an important role in all aspects of injury prevention and safety promotion. This includes not only medical or surgical treatment for the injured patients but also risk assessment, health education, community action, organisational development and advocacy for policy to promote safety at a multi-level in the society. This can be accomplished most efficiently through collaboration with diverse sectors within a community, including hospitals, public health professionals, policy makers, school boards, police departments, fire departments, citizens' coalitions and others. Since 2002, Ajou University School of Medicine and Public Health in Suwon, Korea, has introduced a Safe Community model to many countries in Asia, including Korea, Japan, China, Vietnam, Thailand, among others, which is led by The World Health Organization Collaborating Centre on Community Safety Promotion at Karolinska Institutet, Stockholm, Sweden.     

Culture matters: what cultural values influence budget transparency?

This article empirically examines whether cultural values significantly influence budget transparency. We employ data for budget transparency from the Open Budget Index, and data for national culture from Hofstede’s cultural dimensions, the Global Leadership and Behavioral Effectiveness Research Project and the World Values Survey to explore this question. We find evidence that individualism positively influences budget transparency. We also find that stronger preferences for institutional collectivism, masculinity and authoritarian rule lower budget transparency. These results suggest that national culture shapes preferences for budget transparency and influences the possibility of success for attempts to improve budget transparency across countries.     

An alternative approach to the valuation of American options and applications

In this paper we examine the structure of American option valuation problems and derive the analytic valuation formulas under general underlying security price processes by an alternative but intuitive method. For alternative diffusion processes, we derive closed-form analytic valuation formulas and analyze the implications of asset price dynamics on the early exercise premiums of American options. In this regard, we introduce useful and interesting diffusion processes into American option-pricing literature, thus providing a wide range of choices of pricing models for various American-type derivative assets. This work offers a useful analytic framework for empirical testing and practical applications such as the valuation of corporate securities and examining the impact of options trading on market micro-structure.