• Communications for Statistical Applications and Methods
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• 제28권3호
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• pp.251-265
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• 2021

This paper discusses the pricing of autocallable structured product with knock-in (KI) feature using the exit probability with the Brownian Bridge technique. The explicit pricing formula of autocallable ELS derived in the existing paper handles the part including the minimum of the Brownian motion using the inclusion-exclusion principle. This has the disadvantage that the pricing formula is complicate because of the probability with minimum value and the computational volume increases dramatically as the number of autocall chances increases. To solve this problem, we applied an efficient and robust simulation method called the Brownian Bridge technique, which provides the probability of touching the predetermined barrier when the initial and terminal values of the process following the Brownian motion in a certain interval are specified. We rewrite the existing pricing formula and provide a brief theoretical background and computational algorithm for the technique. We also provide several numerical examples computed in three different ways: explicit pricing formula, the Crude Monte Carlo simulation method and the Brownian Bridge technique.

• 월간포장계
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• 통권72호
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• pp.154-156
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• 1999

• ESCO지
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• 통권54호
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• pp.78-79
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• 2008

• 화약ㆍ발파
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• 제29권2호
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• pp.1-12
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• 2011

외부폭발, 화재, 충돌, 지진, 태풍과 같은 비정상 하중에 의한 고층빌딩의 연쇄붕괴(progressive collapse) 해석에 관련된 많은 연구가 진행되고 있다. 특히 그러나 실규모의 고층건물을 대상으로 한 손상 및 붕괴에 실험은 현실상 불가능한 실정이다. 본 연구에서는 구조물 발파해체분야에서 적용되는 ELS 소프트웨어를 이용하여 외부폭발에 의한 고층 RC 구조물의 국부손상 및 연쇄붕괴시뮬레이션을 수행하였다. 현관으로부터 1m, 2m, 5m, 10m, 15m 이격되어 폭약 1,500kg이 폭발한 것을 가정하여, 이격거리에 따른 국부손상과 이에 따른 연쇄붕괴현상을 파악하였다. 특히 기폭시나리오에 따라 구조물 지지부재의 일부를 제거하여 구조물의 붕괴를 유도하는 발파해체기법을 국부손상-연쇄붕괴 전이과정 연구에 적용하였다.

• 호남수학학술지
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• 제37권4호
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• pp.441-455
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• 2015

In this paper, we perform a comparison study of explicit and implicit numerical methods for the equity-linked securities (ELS). The option prices of the two-asset ELS are typically computed using an implicit finite diffrence method because an explicit finite diffrence scheme has a restriction for time steps. Nowadays, the three-asset ELS is getting popularity in the real world financial market. In practical applications of the finite diffrence methods in computational finance, we typically use relatively large space steps and small time steps. Therefore, we can use an accurate and effient explicit finite diffrence method because the implementation is simple and the computation is fast. The computational results demonstrate that if we use a large space step, then the explicit scheme is better than the implicit one. On the other hand, if the space step size is small, then the implicit scheme is more effient than the explicit one.

• Communications for Statistical Applications and Methods
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• 제14권2호
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• pp.413-429
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• 2007

Equity-linked securities (ELS) provide their customers with the return linked to the underlying equity (or equities). Equity-linked products in Korea have recently gained popularity due to relatively low interest rates. This paper discusses an equity-linked security whose principal is not guaranteed. The payoff of the ELS depends on the returns of two underlying assets. This paper presents numerical prices of the proposed product by using Monte-Carlo simulation method. It assumes that the log-returns of two stocks follow either Brownian motion or variance gamma process. Finally, the comparison of the two approaches is discussed.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 2004년도 춘계공동학술대회 논문집
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• pp.730-733
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• 2004

본 연구에서는 넉아웃 옵션(Knock-out option)이 내재된 주가연계상품(ELS)의 성과를 시뮬레이션을 이용하여 추정한다. 옵션과 기초자산을 결합하여 구성되는 ELS는 상품개발 시점에서 그 수익구조가 결정되며, 실현수익률은 미래의 시장흐름에 의하여 결정된다. 현재 ELS는 옵션가격의 결정, 수익구조의 결정, 그리고 수익률 추정이라는 개별 과정이 각각 옵션발행자, 상품개발자, 고객관리자 등에 의하여 별도로 이루어지고 있는 실정이다. 본 연구에서는 이러한 개별 과정을 통합한 시뮬레이션 모형을 구축한 후, 이 모형의 결과(옵션가격, 수익구조, 실현수익률)를 기존 관행의 결과와 비교하여 본 연구에서 제안한 시뮬레이션 모형의 유용성을 제안한다. 분석 대상은 국내 장외파생상품 및 ELS의 기준이 되는 KOSPI 200 지수로 1990년 1월 3일부터 2002년 12월 30일까지의 1일 자료를 이용한다.

• Steel and Composite Structures
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• 제23권3호
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• pp.263-271
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• 2017

A theoretical study was carried-out of mode II delamination fracture behavior of the End Loaded Split (ELS) functionally graded beam configuration with considering the material non-linearity. The mechanical response of ELS was modeled analytically by using a power-law stress-strain relation. It was assumed that the material is functionally graded transversally to the beam. The non-linear fracture was investigated by using the J-integral approach. Equations were derived for the crack arm curvature and zero axes coordinate that are needed for the J-integral solution. The analysis developed is valid for a delamination crack located arbitrary along the beam height. The J-integral solution was verified by analyzing the strain energy release rate with considering material non-linearity. The effects of material gradient, non-linear material behavior and crack location on the fracture were evaluated. The solution derived is suitable for parametric analyses of non-linear fracture. The results obtained can be used for optimization of functionally graded beams with respect to their mode II fracture performance. Also, such simplified analytical models contribute for the understanding of delamination fracture in functionally graded beams exhibiting material non-linearity.

• 한국음향학회지
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• 제11권1호
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• pp.67-79
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• 1992

적응방식이나 실시간 처리에 적합한 온라인 ARMA 계수추정을 위하여 공분산형 ARMA 고속 transversal 필터 알고리즘을 제안하였다. 제안된 알고리즘은 ARMA 모델의 경우 상관함수 행렬의 이동불변 특성이 각 블록 별로 만족함을 이용하여 ELS(Extended Least Squares)를 공분산형의 경우에 대해 고속 시갱신 알고리즘으로 구현한 것으로서, 알고리즘의 유도에는 사영연산자를 이용한 기하학적 접근방식을 사용하였다. 제안된 알고리즘은 13N+37 MADPR의 연산량을 필요로 하며, AR부분과 MA부분의 차수를 달리할 수 있다.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제21권3호
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• pp.181-202
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• 2017

In this paper, we develop a mobile platform for pricing equity linked securities(ELS) using Monte Carlo simulation. Mobile phone or smartphone is an important part of most people's lives and has become an everyday item at the present day. Moreover, importance of technologies for anytime and anywhere is increasing daily. Thus, we construct a mobile computing environment for pricing ELS instead of desktops or laptop computers. We provide a detailed Java programming code and a process manual to easily follow up all processes of this paper.