Bong-Gyu Jang

TL;DR: In this article, the authors show that transaction costs can have a first-order effect on liquidity premia and that the presence of transaction costs still cannot fully explain the equity premium puzzle.

TL;DR: In this article, the authors show that the presence of transaction costs can have a first-order effect on liquidity premia (i.e., the maximum expected return an investor is willing to exchange for a zero transaction cost).

TL;DR: In this paper, a simple iterative method was proposed to determine the optimal exercise boundary for American options, allowing us to compute the values of American options and their Greeks quickly and accurately.

TL;DR: In this paper, the authors investigate optimal asset allocation strategies for an insurer who is concerned about changes in economic conditions and show that drastic changes of the correlation between stock prices and insurance claims, investment opportunity, and loading factors might significantly affect optimal reinsurance strategy, asset allocation strategy, or both, of insurance companies.

TL;DR: In this paper, the authors investigate optimal asset allocation strategies for an insurer who is concerned about changes in economic conditions and show that drastic changes of the correlation between stock prices and insurance claims, investment opportunity, and loading factors might significantly affect optimal reinsurance strategy, asset allocation strategy, or both, of insurance companies.