• Communications for Statistical Applications and Methods
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• v.19 no.6
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• pp.819-835
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• 2012

A floating-strike lookback call (or put) option gives the holder the right to buy (or sell) at some percentage of the lowest (or highest) price of the underlying asset. This paper will propose an outside lookback call (or put) option that gives the holder the right to buy (or sell) one underlying asset at its guaranteed floating-strike price that is some percentage times the smaller (or the greater) of a specific guaranteed amount and the lowest (or highest) price of the other underlying asset. In addition, this paper derives explicit pricing formulas for these outside lookback options. Section 3 and Section 4 assume that the underlying assets pay no dividends. In contrast, Section 5 derives explicit pricing formulas for these options when their underlying assets pay dividends continuously at a rate proportional to their prices. Some numerical examples are also discussed.

• Korea-Australia Rheology Journal
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• v.17 no.2
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• pp.35-40
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• 2005

Nanofluid is a novel heat transfer fluid prepared by dispersing nanometer-sized solid particles in traditional heat transfer fluid to increase thermal conductivity and heat transfer performance. In this research we have considered the rheological properties of nanofluids made of CuO particles of 10-30nm in length and ethylene glycol in conjunction with the thermal conductivity enhancement. When examined using TEM, individual CuO particles have the shape of prolate spheroid of the aspect ratio of 3 and most of the particles are under aggregated states even after sonication for a prolonged period. From the rheological property it has been found that the volume fraction at the dilute limit is 0.002, which is much smaller than the value based on the shape and size of individual particles due to aggregation of particles. At the semi-dilute regime, the zero shear viscosity follows the Doi-Edwards theory on rodlike particles. The thermal conductivity measurement shows that substantial enhancement in thermal conductivity with respect to particle concentration is attainable only when particle concentration is below the dilute limit.

• Journal of the Korean Statistical Society
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• v.26 no.2
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• pp.171-180
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• 1997

Effects of order misspecification on statistical behavior of unit root tests are studied. We derive the limiting distributions of the Dickey-Fuller test statistics whose numerators are of the form c .int. W dW + .kappa. where W is a standard Brownian motion on [0, 1] and c is a real number. The term .kappa. is a major consequence of order misspecification and its explict expression is derived. Based on an analysis of .kappa., effects of order misspecification on unit root tests for AR(2), ARMA(1, 1), and AR(3) models are investigated.

• Korean Journal of Air-Conditioning and Refrigeration Engineering
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• v.17 no.9
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• pp.849-854
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• 2005

In this paper, the cooling performance of a microchannel heat sink with nano-particle-fluid suspensions ('nanofluids') is numerically investigated. By using theoretical models of thermal conductivity and viscosity of nanofluids that account for the fundamental role of Brownian motion respectively, we investigate the temperature contours and thermal resistance of a microchannel heat sink with nanofluids such as 6nm copper-in-water and 2nm diamond-in-water. The results show that a microchannel heat sink with nanofluids has high cooling performance compared with the cooling performance of that with water, the classical coolant. Nanofluids reduce both the thermal resistance and the temperature difference between the heated microchannel wall and the coolant.

• Nuclear Engineering and Technology
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• v.49 no.8
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• pp.1636-1644
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• 2017

The main purpose of this article is to describe the magnetohydrodynamic stagnation point flow of Walter-B nanofluid over a stretching sheet. The phenomena of heat and mass transfer are based on the involvement of thermal radiation and chemical reaction. Characteristics of Newtonian heating are given special attention. The Brownian motion and thermophoresis models are introduced in the temperature and concentration expressions. Appropriate variables are implemented for the transformation of partial differential frameworks into sets of ordinary differential equations. Plots for velocity, temperature, and nanoparticle concentration are displayed and analyzed for governing parameters. The skin friction coefficient and local Nusselt and Sherwood numbers are studied using numerical values. The temperature and heat transfer rate are enhanced within the frame of the thermal conjugate parameter.

• Proceedings of the KOSOMBE Conference
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• v.1995 no.05
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• pp.37-41
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• 1995

In this paper, we proposed the 2-stage ultrasound liver image classifier which uses the fractal dimensions obtained from the original image and its 1/2 subsampled image, and the Normalized Fourier Power Spectrum. The fractal dimension based on Fractional Brownian Motion (FBM) is calculated from the variance of the same scale pixels instead of the mean of them. Since the actual ultrasound. liver images does not fully match the FBM, to get the fractal dimension, we use the scale vectors which satisfy the FBM model. In 2-stage classifier, we first classified normal and diffuse liver and then classified the fat liver and cirrhosis from the diffuse liver. For the test liver images. 70% of normal liver and 80% of fat liver and 90% of cirrhosis is classified classified with our 2-stage classifier.

• International Journal of Contents
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• v.11 no.2
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• pp.9-14
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• 2015

We propose a new distance measure between 2-dimensional points to provide a total order for an entire point set and to reflect the correct geometric meaning of the naturalness of the point ordering. In general, there is no total order for 2-dimensional point sets, so curve reconstruction algorithms do not solve the self-intersection problem because the distance used in the previous methods is the Euclidean distance. A natural distance based on Brownian motion was previously proposed to solve the self-intersection problem. However, the distance reflects the wrong geometric meaning of the naturalness. In this paper, we correct the disadvantage of the natural distance by introducing a polar-natural distance, and we also propose a new curve reconstruction algorithm that is based on the polar-natural distance. Our experiments show that the new distance adequately reflects the correct geometric meaning, so non-simple curve reconstruction can be solved.

• Journal of the Korean Data and Information Science Society
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• v.27 no.1
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• pp.265-274
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• 2016

In this paper, we consider a diffusion risk process, in which, its surplus process behaves like a Brownian motion in-between adjacent epochs of claims. We assume that the claims occur following a Poisson process and their sizes are independent and exponentially distributed with the same intensity. Our main goal is to derive the exact formula of the joint moment generating function of the ruin time and the total amount of aggregated claim sizes until ruin in the diffusion risk process. We also provide a method for computing the related first and second moments using the joint moment generating function and the augmented matrix exponential function.

• The Bulletin of The Korean Astronomical Society
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• v.39 no.1
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• pp.59.2-59.2
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• 2014

Radiative transfer models in a spherical, turbulent interstellar medium (ISM), in which the photon source is situated at the center, are calculated to investigate the correlation between the scattered light and the dust column density. The medium is modeled using fractional Brownian motion structures that are appropriate for turbulent ISM. The correlation plot between the scattered light and optical depth shows substantial scatter and deviation from simple proportionality. It was also found that the overall density contrast is smoothed out in scattered light. In other words, there is an enhancement of the dust-scattered flux in low-density regions, while the scattered flux is suppressed in high-density regions. The correlation becomes less significant as the scattering becomes closer to being isotropic and the medium becomes more turbulent. Therefore, the scattered light observed in near-infrared wavelengths would show much weaker correlation than the observations in optical and ultraviolet wavelengths. We also find that the correlation plot between scattered lights at two different wavelengths shows a tighter correlation than that of the scattered light versus the optical depth.

• Proceedings of the KSME Conference
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• 2004.04a
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• pp.1388-1393
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• 2004

Investigators have been perplexed with the thermal phenomena behind the recently discovered nanofluids, fluids with unprecedented stability of suspended nanoparticles although huge difference in the density of nanoparticles and fluid. For example, nanofluids have anomalously high thermal conductivities at very low fraction, strongly temperature-dependent and size-dependent conductivities, and three-fold higher critical heat flux than that of base fluids. Traditional conductivity theories such as the Maxwell or other macroscale approaches cannot explain why nanofluids have these intriguing features. So in this paper, we devise a theoretical model that accounts for the fundamental role of dynamic nanoparticles in nanofluids. The proposed model not only captures the concentration and temperature-dependent conductivity, but also predicts strongly size-dependent conductivity. Furthermore, we physically explain the new phenomena for nanofluids. In addition, based on a proposed model, the effects of various parameters such as the ratio of thermal conductivity of nanofluids to that of a base fluid, volume fraction, nanoparticle size, and temperature on the thermal conductivities of nanofluids are investigated.