This paper compares the option implied tail indexes and volatilities from two option pricing formulas based on heavy-tailed distributions: generalized extreme value (GEV) distribution and generalized logistic (GLO) distribution. Option pricing models based on heavy-tailed distributions with...

This article provides empirical evidence of the relationship between currency depreciation and stock market return using Korean and Japanese nonfinancial firms' data. Although the recent FX market circumstances have changed compared to Choi <italic>et al</italic>. (2010), we can still confirm the...

Despite its wide use, the Hill estimator and its plot remain to be difficult to use in Extreme Value Theory (EVT) due to substantial sampling variations in extreme sample quantiles. In this paper, we propose a new plot we call the eigenvalue plot which can be seen as a generalization of the Hill...

In this paper, we extend a delayed geometric Brownian model by adding a stochastic volatility term, which is driven by a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an asymptotic method, we develop a theory for option pricing under...

By examining trade imbalances using 40 countries including Euro-zone countries, we show that the trade imbalance has been exacerbated after joining the Euro zone for the member countries, and the intra trade has greater impact on the imbalance than the offshore trade. For the trade between...