• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제20권2호
• /
• pp.123-135
• /
• 2016

This article deals with the pricing of Asian options under a constant elasticity of variance (CEV) model as well as a stochastic elasticity of variance (SEV) model. The CEV and SEV models are underlying asset price models proposed to overcome shortcomings of the constant volatility model. In particular, the SEV model is attractive because it can characterize the feature of volatility in risky situation such as the global financial crisis both quantitatively and qualitatively. We use an asymptotic expansion method to approximate the no-arbitrage price of an arithmetic average Asian option under both CEV and SEV models. Subsequently, the zero and non-zero constant leverage effects as well as stochastic leverage effects are compared with each other. Lastly, we investigate the SEV correction effects to the CEV model for the price of Asian options.

• 한국추진공학회:학술대회논문집
• /
• 한국추진공학회 2017년도 제48회 춘계학술대회논문집
• /
• pp.154-156
• /
• 2017

종래에는 등분산 가정을 기반으로 가속열화시험 데이터로부터 저장수명을 예측하는 방식이 일반적이었다. 그러나, 실제로는 대부분의 탄약류의 특성치 데이터는 시간의 경과에 따라 산포가 증가한다. 따라서, 본 연구에서는 등분산과 이분산을 가정한 경우에 저장수명 예측 결과의 차이를 확인하고 향후 이분산 가정을 기반으로 데이터 분석을 수행함이 타당함을 제안한다.

• Communications for Statistical Applications and Methods
• /
• 제2권2호
• /
• pp.296-302
• /
• 1995

When heteroscedasticity occurs in random effects linear model, the error variance may depend on the values of one or more of the explanatory variables or on other relevant quantities such as time or spatial ordering. In this paper we derive a score test as a diagnostic tool for detecting non-constant error variance in random effefts linear model based on the model expansion on error variance. This score test is compared to loglikelihood ratio test.

• 한국군사과학기술학회지
• /
• 제21권2호
• /
• pp.173-179
• /
• 2018

Estimating reliability of a non-repairable system using the degradation data, variance assumption such as homogeneity (constant) or heteroscedasticity (time-variant) could affect accuracy of reliability estimation. This paper showed reliability estimation and comparison results under normal conditions using accelerated degradation data obtained from destructive measurements, according to variance assumption of the data at each measurement time. Degradation data from three accelerated conditions with stress factors of temperature and humidity were used to estimate reliability. The $B_{10}$ lifetime was estimated as 1243.8 years by constant variance assumption, and 18.9 years by time-variant variance. And variance assumption provided different analysis results of important stresses to reliability. Thus, accurate assumption of variance at each measurement time is required when estimating reliability using degradation data of a non-repairable system.

• 한국멀티미디어학회논문지
• /
• 제18권11호
• /
• pp.1400-1407
• /
• 2015

In the paper, we suggest bettered EHMECS(Enhanced Hybrid Multi Electrical Cupping System) to regulate automatically vacuum pressure using many cupping cup at once. We controlled accurately the pressure using S-PI control technique in pump motor to input the air inside cupping cup. S-PI control compared constant velocity, load and velocity variance between existing PI and FLC(Fuzzy Logic Control). The stabilization time of suggested S-PI control improve 20% of existing PI and 8% of FLC. The error constant of normal condition improved 71% of existing PI and 62% of FLC in steady speed and 80% of existing PI and 67% of FLC in load change. Also the error constant about velocity variance improve 45% of PI control. It is prove the suggested S-PI control technique. When use long time vacuum pressure of cupping cup regulated the suggested S-PI control technique, can loosen knotted muscles.

• Industrial Engineering and Management Systems
• /
• 제7권1호
• /
• pp.44-50
• /
• 2008

Focusing on the exponential smoothing method equivalent to (1, 1) order ARMA model equation, a new method of estimating smoothing constant using exponential smoothing method is proposed. This study goes beyond the usual method of arbitrarily selecting a smoothing constant. First, an estimation of the ARMA model parameter was made and then, the smoothing constants. The empirical example shows that the theoretical solution satisfies minimum variance of forecasting error. The new method was also applied to the stock market price of electrical machinery industry (6 major companies in Japan) and forecasting was accomplished. Comparing the results of the two methods, the new method appears to be better than the ARIMA model. The result of the new method is apparently good in 4 company data and is nearly the same in 2 company data. The example provided shows that the new method is much simpler to handle than ARIMA model. Therefore, the proposed method would be better in these general cases. The effectiveness of this method should be examined in various cases.

• Communications for Statistical Applications and Methods
• /
• 제17권4호
• /
• pp.575-589
• /
• 2010

Exponential L$\acute{e}$evy models have become popular in modeling price processes recently in mathematical finance. Although it is a relatively simple extension of the geometric Brownian motion, it makes the market incomplete so that the option price is not uniquely determined. As a trial to find an appropriate price for an option, we suppose a situation where a hedger wants to initially invest as little as possible, but wants to have the expected squared loss at the end not exceeding a certain constant. For this, we assume that the underlying price process follows a variance-gamma model and it converges to a geometric Brownian motion as its quadratic variation converges to a constant. In the limit, we use the mean-variance approach to find the asymptotic minimum investment with the expected squared loss bounded. Some numerical results are also provided.

• 한국품질경영학회:학술대회논문집
• /
• 한국품질경영학회 2006년도 추계 학술대회
• /
• pp.211-216
• /
• 2006

Monitoring variability is a vital part of modem statistical process control. The conventional Shewhart Rand S charts address the setting where the in-control process readings have a constant variance. In some settings, however, it is the coefficient of variation, rather than the variance, that should be constant. This paper develops a chart, equivalent to the S chart, for monitoring the coefficient of variation using rational groups of observations.

• East Asian mathematical journal
• /
• 제31권1호
• /
• pp.91-101
• /
• 2015

An explicit expression of the optimal investment strategy corresponding to the HARA utility function under the constant elasticity of variance (CEV) model has been given by Jung and Kim [6]. In this paper we give an explicit expression of the optimal solution for the extended logarithmic utility function. And we prove an a.s. convergence of the HARA solutions to the extended logarithmic one.

• 충청수학회지
• /
• 제33권2호
• /
• pp.181-195
• /
• 2020

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.