• Bulletin of the Korean Mathematical Society
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• v.53 no.5
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.29 no.2
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• pp.20-30
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• 2006

Due to recent growing interest in autonomous software agents and their potential application in areas such as electronic commerce, the autonomous negotiation become more important. Evidence from both theoretical analysis and observations of human interactions suggests that if decision makers have prior information on opponents and furthermore learn the behaviors of other agents from interaction, the overall payoff would increase. We propose a new methodology for a strategy finding process using data mining in autonomous negotiation system; ANSIA(Autonomous Negotiation System using Intelligent Agent). ANSIA is a strategy based negotiation system. The framework of ANSIA consists of three component layers; 1) search agent layer, 2) data mining agent layer and 3) negotiation agent layer. ANSIA is motivated by providing a computational framework for negotiation and by defining a strategy finding model with an autonomous negotiation process.

• International Journal of Internet, Broadcasting and Communication
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• v.13 no.1
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• pp.243-248
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• 2021

Although many different types of covert channels have been suggested in the literature, there are little work in directly applying game theory to building up covert channel. This is because researchers have mainly focused on tailoring game theory for covert channel analysis, identification, and covert channel problem solving. Unlike typical adaptation of game theory to covert channel, we show that game theory can be utilized to establish a new type of covert channel in IoT devices. More specifically, we propose a covert channel that can be constructed by utilizing the Nash Equilibrium with sensor data collected from IoT devices. For covert channel construction, we set random seed to the value of sensor data and make payoff from random number created by running pseudo random number generator with the configured random seed. We generate I × J (I ≥ 2, J ≥ 2) matrix game with these generated payoffs and attempt to obtain the Nash Equilibrium. Covert channel construction method is distinctly determined in accordance with whether or not to acquire the Nash Equilibrium.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.56 no.5
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• pp.848-853
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• 2007

This paper presents a methodology of estimating incomplete information in electricity markets for analyzing the gaming behavior of Generating Companies (GENCOs). Each GENCO needs to model its opponents' unknown information of strategic biddings and cost functions. In electricity markets with complete information, each GENCO knows its rivals' payoff functions and tries to maximize its own profit at Nash equilibriurnl Nli) by acknowledging the rivals' cost function. On the other hand, in the incomplete information markets, each GENCO lacks information about its rivals. Load patterns can change continuously due to many factors such as weather, price, contingency, etc. In this paper, we propose the method of the estimation of the opponents' cost function using market price, transaction quantities. and customer load patterns. A numerical example with two GENCOs is illustrated to show the basic idea and effectiveness of the proposed methodology.

• Proceedings of the KIEE Conference
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• 2007.04a
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• pp.240-242
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• 2007

The game theoretic analysis in wireless networks can be classified into the jamming game of the physical layer, the multiple access game of the medium access layer, the forwarder's dilemma and joint packet forwarding game of the network layer, and etc. In this paper, the game theoretic analysis about the multiple access game that selfish nodes exist in the IEEE 802.11 DCF(Distributed Coordination Function) wireless networks is addressed. In this' wireless networks, the modeling of the CSMA/CA protocol based DCF, the utility or payoff function calculation of the game, the system optimization (using optimization theory or convex optimization), and selection of Pareto-optimality and Nash Equilibrium in game strategies are the important elements for analyzing how nodes are operated in the steady state of system. Finally, the main issues about the game theory in the wireless network are introduced.

• Korean Management Science Review
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• v.33 no.2
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• pp.117-131
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• 2016

This study introduces the concepts on the phase-shifting phenomenon of financial markets, which was firstly used in econophysics area and explains how the phase-shifting behavior is studied in the fields of business management and finance. Specifically, we explain how the phases of financial markets are extremely changed under some external conditions, do an extensive literature review, and carry out case studies focusing on the 3 major financial crisis events including the 87 October crash, 97 Asian financial crisis, and 2007 global financial crisis. We also empirically examine the phase-shifting behavior of the Korean ELW products that has a similar payoff structure to the KOSPI200 options.

• Korean System Dynamics Review
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• v.1 no.1
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• pp.133-157
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• 2000

This paper deals with the social system from the point of system thinking consisting the fundamental construct of system dynamics. The Bertalanffy's general system theory, having been criticized because of its ambiguity, and the complex science theory, emerging system theory, are integrated by using the system thinking which is characterized with three concepts, 'feedback thinking', 'dynamic thinking', 'operational thinking'. In the integration, system thinking suggests the dynamic pattern of the social system have not only an equilibrium status but also complex status. The science of complexity gives an implication to system dynamics the important of the uncertainty and complexity if we interpret the social system as an open system. To show more concrete description, I simulate the cooperation model based on the iterated prisoner dilemma. The simulation results show the diverse patterns of cooperation and betrayal. Especially the sensitivity of initial payoff will cause the chaotic strategic landscapes as the game gose on. These results mean that we should not give the hasty prescription to control social system artificially. Because social system retains the self-organizing force in itself.

• KSCI Review
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• v.9 no.2
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• pp.9-18
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• 2002

To establish and operate adequate business model is core procedure to survive from severe competitive environment and can create payoff through BM. Whether company have or maintain competitive advantage. It depends on how to position company in the value system. In this study. like to achieve integration and rebuilding of value chain through B2E relationship and affiliation which could not achieved because of limit of manpower, cost, time. After analysis of B2E model. affiliated program, propose Affiliated B2E model. Proposed model has mutual supplemented function module which compensate mutual profit between parent company and employee company.

• Advances in robotics research
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• v.2 no.3
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• pp.247-257
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• 2018

Various studies have been performed to coordinate robots in transporting objects and different artificial intelligence algorithms have been considered in this field. In this paper, we investigate and solve Multi-Robot Transportation problem by using a combined auction algorithm. In this algorithm each robot, as an agent, can perform the auction and allocate tasks. This agent tries to clear the auction by studying different states to increase payoff function. The algorithm presented in this paper has been applied to a multi-robot system where robots are responsible for transporting objects. Using this algorithm, robots are able to improve their actions and decisions. To show the excellence of the proposed algorithm, its performance is compared with three heuristic algorithms by statistical simulation approach.

• Korean Management Science Review
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• v.21 no.2
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• pp.145-165
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• 2004

Frequently. lots of organizations have experienced the value discrepancy between the expected value and the realized value from IS (information systems) investments. Being positive or negative the difference is. however, the existence of discrepancy itself is an evidence of less-than-sound management and measurement of IS projects. Analyzing the factors that cause such discrepancy has become an issue of scrutiny both in academia and in practice. We model which factors. as predictors, will affect the value discrepancy, as dependent variables. in IS investment. This research will establish and examine the research model. the validity of category classification of value discrepancy factors and the perceptual level of IS value discrepancy by survey research. As a result of the survey research. the strategic alignment. the proper system design for staffs. the project planning capability. and interdepartmental task cooperation are perceived as the factors that significantly affect the value discrepancy. And known as IS success factors such as the managerial support, the change management, the standardized process. and the competitive investment are not significant factors. The research findings will provide and emphasize useful implications which factors should be deliberately investigated in IS investment both for practices considering IS deployment and for academia.