• 한국통계학회:학술대회논문집
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• 한국통계학회 2004년도 학술발표논문집
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• pp.165-170
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• 2004

This paper will derive explicit unified pricing formulas for eight types of outside barrier options, respectively. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. The eight types of barrier options are up-and-in, up-and-out, down-and-in and down-and-out call (or put) options.

• Communications for Statistical Applications and Methods
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• 제6권1호
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• pp.207-220
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• 1999

In this paper, some of the issue about a group sequential method are considered in the Bayesian context. The continuous time optimal stopping boundary can be used to approximate the optimal stopping boundary for group sequential designs. The exact stopping boundary for group sequential design is obtained by using the backward induction method and is compared with the continuous optimal stopping boundary and the corrected continuous stopping boundary.

• 산업기술연구
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• 제2권
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• pp.27-31
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• 1982

An approximation to the ARL for cusum control charts is derived using a Brownian motion approximation to the cumulative sum. The accuracy of this approximation is numerically evaluated and the results are compared with those obtained by other method.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2003년도 춘계 학술발표회 논문집
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• pp.31-36
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• 2003

Using a short time expansion of the fundamental solution of heat equation by analysis of Wiener functional with the help of Malliavin calculus, we obtain the asymptotic expansion of the mean distance of Brownian motion on Riemannian manifolds.

• Journal of applied mathematics & informatics
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• 제12권1_2호
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• pp.385-393
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• 2003

Let Y(t) be a stochastic integral process represented by Brownian motion. We show that YHt (t) is continuous in t with probability one for Molder function Ht of exponent ${\beta}$ and finally we derive asymptotic self-similar process YM (t) which converges to Yw (t).

• Journal of the Korean Data and Information Science Society
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• 제11권2호
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• pp.327-334
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• 2000

Suppose that there is a population of hidden objects of which the total number N is unknown. From such data, we derive some properties of the limiting processes of stopping time in estimating a population size.

• 한국자기학회:학술대회 개요집
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• 한국자기학회 2008년도 Asian Magnetics Conference
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• pp.182.2-182.2
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• 2008

• 대한수학회지
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• 제59권6호
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• pp.1083-1101
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• 2022

In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just integrability on the data we show that such equations admit a unique solution which belongs to class 𝔻.

• 응용통계연구
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• 제26권1호
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• pp.187-200
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• 2013

본 논문에서는 기하브라운운동(geometric Brownian motion)을 기반으로 표준옵션의 델타헤지를 수행하는 경우, 헤지변동성의 선택이 헤지손익에 미치는 영향을 재탐색하였다. 이를 위하여, 헤지변동성과 헤지손익과의 관계를 고찰하였으며, 모의실험과 실증분석을 통하여 기초자산의 추세에 따라 헤지변동성을 달리 선택하는 것이 최종 헤지손익에 유리할 수 있음을 살펴보았다. 구체적으로, 등가격 표준옵션의 헤지매매 시 향후 기초자산이 횡보할 것으로 예상될 때에는 헤지변동성을 상대적으로 크게, 추세가 형성될 것으로 예상될 때에는 비교적 작게 사용하는 것이 손익에 유리하였다.

• The Journal of Asian Finance, Economics and Business
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• 제1권4호
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• pp.5-13
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• 2014

This study contributes to addressing the problem of an aging population by providing important information that determines feasible monthly payments for the clients of Chinese reverse mortgage products and by promoting the implementation of reverse mortgages in China. The variables used in this study include mean values obtained from time series data, of the rate of increase of housing prices, and the probability value, interest rate, and mortality rate obtained through the geometric Brownian motion (GBM). For mortality rates, China Life Insurance female mortality rates (2000-2003) were used. This study aims to apply the main variables that affect reverse mortgage products in a monthly payment model based on Chinese financial market conditions, and determine loan values. In this study, Shanghai's reverse mortgage monthly payments, by age levels, were calculated through the loan-to-value (LTV) and payment (PMT) methods to evaluate the value of the reverse mortgages. Based on the optimal combination of the three factors of payment amount, loan interest rates, and the level of acceptance of prices, efforts must be made to extract the best value for the elderly. Only in this way can the interests of both lenders and borrowers be protected, by increasing the market share and economies of scale of the reverse mortgage industry and effectively improving the living standards of the elderly.