• 재무관리연구
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• 제24권4호
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• pp.1-43
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• 2007

전통적인 옵션가격결정모형인 블랙-숄즈 모형(Black-Scholes model)은 기초자산의 로그수익률(log-return)이 브라운운동(Brownian motion)을 따른다는 가정에 기반을 두고 있다. 그러나 이 가정은 현실적인 한계가 많은 것으로 비판을 받아 왔다. 이에 따라 지난 20여 년간 브라운 운동 이외에 새로운 확률과정을 도입한 모형들이 연구되고 도출되었다. 최근에는 레비과정(L$\acute{e}$vy process)에 기반한 모형들이 활발히 연구되어오고 있는데, 그 기원은 1994년 거버(Gerber)와 쉬우(Shiu)에 의한 거버-쉬우 모형(Gerber-Shiu model)이다. 2004년 치앙(Cheang)은, 거버-쉬우 모형이 하나의 레비과정을 가정한 데 비해, 복수의 독립적인 레비과정을 가정하여 옵션가격결정모형을 유도함으로써 거버-쉬우 모형을 추세(drift)와 도약(jump)을 갖는 경우로 확장할 수 있는 가능성을 제시하였다. 본 논문에서는 치앙의 모형을 이용하여 레비과정 하에서의 추세와 도약을 갖는 거버-쉬우 모형을 유도하였다. 여기에 감마분포를 도입하여 1993년에 도출된 헤스톤 모형(Heston model)에 도약을 도입한 형태의 모형을 유도하였다. 아울러 이렇게 유도된 모형에 대하여 KOSPI200 지수 옵션 자료를 사용해서 블랙-숄즈 모형과의 가격설명력을 비교하였다. 그 결과, 본 논문에서 유도된 모형이 블랙-숄즈 모형 이상의 가격설명력을 보이는 것으로 나타났다.

• 한국복합재료학회:학술대회논문집
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• 한국복합재료학회 2001년도 추계학술발표대회 논문집
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• pp.9-12
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• 2001

Composite materials can be used economically and efficiently in broad civil engineering applications when standards and processes for analysis, design, fabrication, construction and quality control are established. Many of the bridge systems, including the girders and cross-beams, and concrete decks behave as the special othotropic plates. Such systems with boundary conditions other than Navier or Levy solution types, or with irregular cross sections, analytical solution is very difficult to obtain. Numerical method for eigenvalue problems are also very much involved in seeking such a solution. A method of calculating the natural frequency corresponding to the first mode of vibration of beam and tower structures with irregular cross-sections was developed and reported by the author in 1974 Recently, this method was extended to two dimensional problems including composite laminates, and has been applied to composite plates with various boundary conditions with/without shear deformation effects and reported at several international conferences including the Eighth Structures Congress of American Society of Civil Engineers in 1990. In this paper, the result of application of this method to the special orthotropic plates with various boundary condition is presented.

• 상하수도학회지
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• 제22권5호
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• pp.541-550
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• 2008

In this investigative study, the unit mass discharge for the major water quality parameters such as flowrate, SS, BOD, CODmn, CODcr, TN, TP from textile spinning/weaving industry nearby Nakdong river basin was estimated. To represent the respective industries, three companies from hundreds of textile spinning/weaving industries located in Nakdong river basin was carefully selected based on its manufacturing goods, flowrate and location for the estimation of unit mass discharge based on unit operation and process. There was a drastic decrease of unit mass discharge estimation between influents and effluents of water quality parameters, which represents the removal capacity of wastewater treatment plant. With the advent of new regulation on the imposed payment proportional to the total amount of pollutants discharge into the water body, the concept of cleaner production technology should be employed in the unit operation/process in wastewater treatment plant as well as textile manufacturing procedure to minimize the levy on the pollutants discharge. Unit mass discharge estimations of unit process (estimated in this study) in major water quality parameters (SS, BOD, COD, TN and TP) based on land were similar to those of composite process (estimated by National Institute of Environmental Research). But the unit mass discharge estimations of unit process in BOD and CODmn based on total sale were much higher than those of composite one while in SS, TN and TP similar to each other. For the detailed estimation of the imposed payment, unit mass estimation based on unit process should be further emphasized.