• Proceedings of the Korean Operations and Management Science Society Conference
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• 2005.05a
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• pp.756-763
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• 2005

본 논문에서는 KOSPI200 지수선물의 분 단위 가격 데이터를 이용하여 거래비용을 고려한 옵션 복제 전략들의 성과를 비교하였다. 비교를 위해 사용한 옵션 복제 전략들은 (1)Black-Scholes 델타(delta) 전략, (2)Black-Scholes 델타 한도 전략, (3)Leland 전략, (4)Whalley-Wilmott 전략이다. 각 전략들은 옵션 복제를 위한 기초자산 거래와 관련된 두 가지 질문에 대한 답을 준다. 첫 번째 질문은 거래 시점에 관한 것으로, '언제 거래할 것인가'이고, 두 번째 질문은 거래량에 관한 것으로, '얼마만큼 거래할 것인가'이다. 본 논문에서는 현실적인 KOSPI200 지수선물 거래수수료(거래금액 대비 0.01%) 환경에서 잔존만기 1년인 유럽형 등가격 콜 옵션을 복제하는 경우를 실험하였다. 실험 결과 Leland 전략을 제외한 나머지 세 전략들의 복제 성과가 상대적으로 뛰어난 것으로 나타났다. 그러나 이들 세 전략들 간에는 복제 성과에 대해 뚜렷한 차이를 발견하기 어려웠다. 한편, 복제 종료 시점에서의 복제 손익에 큰 영향을 미치는 요인은 복제 오차(복제 포트폴리오의 만기 가치와 복제 대상 옵션의 만기 현금흐름의 차이)인 것으로 나타난 반면, 복제를 위한 기초자산 거래비용이 복제 종료 시점에서의 복제 손익에 미치는 영향은 적은 것으로 나타났다.

• The Korean Journal of Financial Management
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• v.15 no.1
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• pp.95-116
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• 1998

선물시장이 개설된 이후 최근까지 약 2년동안 거래된 주가지수선물 8개의 최근월물에 대한 실제가격과 이론가격과의 괴리율을 분석한 결과 한개의 결제월물을 제외한 1개의 최근월물의 선물가격이 평균적으로 이론가보다 낮게 형성되어 주가지수선물시장이 개설된 이후 대부분의 기간동안 선물가격의 저평가상태가 지속되고 있는 것으로 나타났으며, 선물시장이 양적으로 성장한 97년 10월부터 괴리율의 편차가 더 심화되는 경향도 발견되었다. 가격괴리현상을 이용한 차익거래로 실제 수익을 올릴 수 있었는가에 대한 점증에서는 거래비용에서 유리한 위치에 있는 증권회사의 경우 분석대상 총거래일수 544일중에서 차익거래가 가능했던 거래일은 301일이었고, 거래비용측면에서 상대적으로 불리한 일반투자자의 경우에도 총 190일이나 차익거래가 가능했던 것으로 분석되었다. 이처럼 거래비용을 고려하고도 차익거래로 이익을 실현할 수 있는 기회가 즉시에 소멸되지 않고 상당기간동안 지속되는 것으로 나타났으며, 이는 기관투자가의 선물에 대한 인식 부족과 증권회사의 공매도 제약 둥과 같은 제도적 요인, 그리고 차익거래 수익의 불확실성 등에 따라 차익거래가 활발하게 이루어지지 못한데서 기인한 것으로 보인다. 가격괴리현상과 선물만기일까지의 잔존기간과의 관계는 유의적이어서, 선물만기일까지 잔존기간이 길수록 괴리율이 더 크고 만기일에 접근함에 따라 괴리율은 감소하였다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.2
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• pp.712-717
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• 2011

Option issuers generally utilize Dynamic Delta Hedging(DDH) technique to avoid the risk resulting from continuously changing option value. DDH duplicates payoff of option position by adjusting hedge position according to the delta value from Black-Scholes(BS) model in order to maintain risk neutral state. DDH, however, is not able to guarantee optimal hedging performance because of the weaknesses caused by impractical assumptions inherent in BS model. Therefore, this study presents a methodology for dynamic option hedge using artificial neural network(ANN) to enhance hedging performance and show the superiority of the proposed method using various computational experiments.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.21 no.3
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• pp.151-157
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• 2021

This paper deals with financing an early retirement scheme problem(FERSP) with minimum initial cash and filling up maximum financial interest. For this problem, Guéret et al. programming the Mosel, and Edvall merely realize the CPLEX Branch-and-Cut MIP Solver program to get the optimal solution. But there is no clear rule to finding the solution. This paper suggests calculation formula of bond number decision-making that the reverse from long arrival due date to short. Then we optimize and confirm the bonds number in accordance with continuative effect of the arrival due date. The shortage prepare with the principal and interest of one year deposit(saving) reversely calculation formula.

• Journal of The Korean Society of Grassland and Forage Science
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• v.26 no.1
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• pp.31-38
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• 2006

This experiment was carried out to determine the effects of different sowing dates and cultivars on the forage yield and quality of winter rye (Secale cereale L.). The experiment was conducted in a split plot design with three replications. The main plots consisted of two sowing dates such as early (15 September) and late (30 September). The subplots consisted of rye cultivars of five different maturity groups such as 'Kodiak' (Late), 'Koolgrazer' (Early), 'Danko' (Late), 'Homil22' (Medium) and 'Olhomi1' (Early). Dry matter (DM) content at early sowing (19.7%) was higher than those at late sowing (17.8%), while crude protein (CP) and total digestible nutrients (TDN) contents at early sowing (16.6% and 61.6%) were lower than those at late sowing (16.8% and 63.1%). Although DM content of early maturing cultivars (Koolgrazer and Olhomi1) was higher than the other cultivars, CP and TDN contents of those were lower compared to other cultivars. The contents of fiber components (ADF, NDF and cellulose) at early sowing were higher than those at late sowing, while ADL and hemicellulose at early sowing were lower than those at late sowing. ADF and cellulose of early maturing cultivars were higher than those of the other cultivars, while ADL and hemicellulose of Danko were higher than that of the other cultivars. DM, CP, In vitro dry matter digestibility (IVDMD) and TDN yields at early sowing were higher than those at late sowing, and early maturing cultivars were higher than those of the other cultivars. Results of this study indicate that forage production technology in combination with early sowing and use of early maturing rye cultivar could enhance both production and quality of rye.

• Korean Journal of Plant Resources
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• v.27 no.2
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• pp.119-124
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• 2014

This study was accomplished to investigate the effect of harvest time on the contents of polyphenolic compounds such as epicatechin, catechin, resveratrol and quercetin in grapes (Vitis spp.). The souble solids contents were increased with harvest time delay, while the titratable acidity continuously decreased in all cultivars. Brightness (L) was higher in 'Campbell Early' and 'Shigyoku', Hunter a value was high in 'Shigyoku' which was harvested later. Hunter b value seemed to be different in 'Shigyoku' depending on harvesting time. The contents of EC which was extracted 'Campbell Early, 'Shigyoku' and 'M.B.A' were higher late harvest time than early harvest time, reapectively, In 'Shigyoku which requires the direct light, the contents of EGC and EC showed distinct differences depending on harvesting time. The compositions of epicatechin were different depending on cultivars. The contents of catechin and resveratrol were higher in 'Campbell Early' and 'M.B.A' which were harvested later, but 'Shigyoku' which was harvested earlier. The contents of quercetin was higher in 'Campbell Early' which was harvested earlier, but 'Shigyoku' and 'M.B.A' which were harvested later. In comparison with 'Shigyoku' and 'M.B.A', catechin and resveratrol contents were seen to be higher in 'Campbell Early' irrespective of harvesting time.

• Journal of Service Research and Studies
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• v.10 no.4
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• pp.71-88
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• 2020

CB(Convertible bond) is mezzanine security that have the characteristics of bonds and stocks. From the perspective of investors, the purpose of the research is to empirically investigate the degree of investment efficiency of CB and to suggest efficient investment plans. The research method investigated the maturity interest rate, conversion price, and conversion date for CB, and then linked it with daily stock price fluctuations after the conversion date to determine the degree of investment efficiency and stock conversion effect of CB. As a result of the study, it was analyzed that the ratio of the conversion price exceeded days was only about 1/4 of the conversion date, so the investment efficiency was low. The conversion day yield was -6.3% on average and the maturity day yield was -5.2% on average, showing a minus return on average, which was calculated differently from investor expectations. It was analyzed that the number of stocks with a minus conversion day is 2.4 times greater than the number of plus stocks and 3.7 times more than the number of plus stocks with a minus maturity return, so the expected return on stock conversion of CB is low. The research contribution was derived from the problem that the expected rate of return of CB is not high, and it is that the investor's point of view when purchasing CB was established.

• International Area Studies Review
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• v.15 no.1
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• pp.291-314
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• 2011

We examine the motives of foreigner's investments in the Korean bonds by maturity and try to prove that market impacts are different by their investment maturity. Foreign investors initially focused on short-term bonds, but have expanded to mid- to long-term bonds since 2010. The previous studies found that covered interest arbitrage was the main reason for foreign investment. However, there should be some other reasons as their investment in mid- to long-term bonds might have nothing to do with arbitrage. In the empirical analysis, we found that foreign investment in bonds with less than 2 year maturity is driven by arbitrage as previous studies. However, investment in bonds with 2-5 year maturity is sensitive to the FX volatility and the stock market performance compared with the U.S. and investment in bonds with more than 5 year maturity is driven by the CDS premium differential between Korea and PIIGS countries. The more foreigners have invested mid- to long-term bonds, the stronger downward pressure has been on the bond yields. In addition, foreign investors indirectly affected the spreads. Meanwhile, the government should prepare some policy measures since concerns over side effects such as the Korean won appreciation and an abrupt capital outflow are arising.

• Korean Journal of Organic Agriculture
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• v.15 no.1
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• pp.59-69
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• 2007

This experiment was conducted to study the spring productivity and feeding value of hairy vetch varieties. We also measured DM yield and feeding value by analyze CP and CF that authors made possible to calculate TDN and RFV. The results can be summarized as follows; Dry matter yield were increased earlier autumn seeding date and later cut in spring. Differences of dry matter yield in earlier cut in spring was high in order of Ostsaat, Welta, Vv4712, Penn-02, Common and Minnie. Crude protein(CP) yield was increased when earlier autumn seeding date and later cut in spring. Total digestible nutrient(TDN) yield of hairy vetch varieties was decreased when later autumn seeding date, and was increased when later cut in spring. TDN yield was highest in Ostsaat and Welta varieties had highest dry matter yield. Acid detergent fiber(ADF) content was decreased when later autumn seeding date and was increased when later cut in spring. Neutral detergent fiber(NDF) content was decreased when later autumn seeding date. Average values for relative feed value(RFV) were 157% and 132% in both cut. It shows that a high feed value in all of hairy vetch varieties. Above all, the results presented that the optimal seeding date for cultivating hairy vetch in the central region of Korea is between the 10th to the 20th of September. Because Ostsaat and Welta had significantly high dry matter yield we expected Ostsaat and Welta have a higher wintering ability.

• Journal of The Korean Society of Grassland and Forage Science
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• v.19 no.3
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• pp.211-220
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• 1999

The corn is mostly planted in mid-April in single-cropping silage system if possible, however, in a double-cropping silage system, the corn planting date is delayed until after the mid-May. The objective of this study was to evaluate agronomic characteristics and forage performance of the eight government recommended corn hybrids for silage at two dates of planting. Split-plot design replicated three times was used, that is, main plots were planting dates, sub-plots were eight hybrids at Suweon in 1997. Days from planting to silking of optimum planting was 84 days and that of late was 69 days. The difference in silking day among the hybrids was 6 days at optimum planting and 2 days at late planting. Plant height of optimum planting corn was higher than that of late one, however, ear height and stem diameter of optimum planting were lower than those of late planting corn. Among the corn hybrids tested, plant heights of 'P3156' and 'P3163' were higher than those of the other hybrids. Ear height of 'DK713' was the lowest among the corn hybrids and stem diameter of 'P3394' was thicker than that of the other hybrids. European corn borer(ECB) damage(16.6%) at optimum planting was lower than that(49.9%) of late, however, there were no significant ECB damage differences among the corn hybrids tested. Whole plant dry matter(DM) contents of 'P3525', 'P3394' and 'P3352' hybrids were higher than those of the other corn hybrids at harvest. Ear percentages of the total dry matter(DM) of 'P3394' and 'P3156' were higher than those of the other corn hybrids. Dry matter(DM) and total digestible nutrients(TDN) yields(19,696 and 14,621kg/ha) at optimum planting were higher than those (17,163 and 12,570kg/ha) of late planting, while there were no significant differences in DM and TDN yields among the corn hybrids tested. And those hybrids with greater proportion of grain in the whole plant have higher DM and TDN yields. Correlation coefficients for days from planting to silking with DM and TDN yields were $0.84^{**}$ and $0.87^{**}$, and those for ear percent were $0.86^{**}$ and $0.87^{**}$. Results of this study indicate that optimum planting date(15 April) is better than late planting date(16 May) in agronomic characteristics and forage production of silage corn. Days from planting to silking and ear percent as welI as other characters are important factors screening the corn hybrid for silage.