• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제7권2호
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• pp.13-22
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• 2003

Simulations on the nonlinear partial differential equation derived from Black-Scholes equation with transaction costs are performed. These numerical experiments using finite element methods are applied to KOSPI200 in 2002 and the option prices obtained with transaction costs are closer to the real prices in market than the prices used in Korea Stock Exchange.

• 대한전기학회:학술대회논문집
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• 대한전기학회 1995년도 하계학술대회 논문집 B
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• pp.634-636
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• 1995

This paper presents a new distance relay modeling techniques which avoids unnecessary computational procedure. A general-purpose simulation language, called MODELS, has been added to the software ATP(Alternative Transients Program) providing a new option to perform numerical and logical manipulations of variables of an electrical system. This language has been designed to replace the previous option TACS (Transient Analysis of Control Systems) which permits to simulate a control system in conjunction with a large power network. One purpose of this study is to build a structure for modeling of digital distance relays within EMTP MODELS. Contrary to the traditional methods, the new method using MODELS reduce the number of simulation steps in modeling the distance relay.

• 한국철도학회논문집
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• 제10권2호
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• pp.137-145
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• 2007

In traditional financial theory, the discount cash flow model(DCF or NPV) operates as the basic framework for most analyses. In doing valuation analysis, the conventional view is that the net present value(NPV) of a project is the measure of the present value of expected net cash flows. Thus, investing in a positive(negative) NPV project will increase(decrease) firm value. Recently, this framework has come under some fire for failing to consider the options of the managerial flexibilities. Real option valuation(ROV) considers the managerial flexibility to make ongoing decisions regarding the implementation of investment projects and the deployment of real assets. The appeal of the framework is natural given the high degree of uncertainty that firms face in their technology investment decisions. This paper suggests an algorithm for estimating volatility of logarithmic cash flow returns of real assets based on the Black-Sholes option pricing model, the binomial option pricing model, and the Monte Carlo simulation. This paper uses those models to obtain point estimates of real option value with the G7- HSR350X(high-speed train).

• Restorative Dentistry and Endodontics
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• 제20권2호
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• pp.432-461
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• 1995

The basic principles in the design of Class II amalgam cavity preparations have been modified but not changed in essence over the last 90 years. The early essential principle was "extension for prevention". Most of the modifications have served to reduce the extent of preparation and, thus, increase the conservation of sound tooth structure. A more recent concept relating to conservative Class II cavity preparations involves elimination of occlusal preparation if no carious lesion exists in this area. To evaluate the ideal ClassII cavity preparation design, if carious lesion exists only in the interproximal area, three cavity design conditions were studied: Rodda's conventional cavity, simple proximal box cavity and proximal box cavity with retention grooves. In this study, MO amalgam cavity was prepared on maxillary first premolar. Three dimensional finite element models were made by serial photographic method. Linear, eight and six-nodal, isoparametric brick elements were used for the three dimensional finite element model. The periodontal ligament and alveolar bone surrounding the tooth were excluded in these models. Three types model(B option, Gap option and R option model) were developed. B option model was assumed perfect bonding between the restoration and cavty wall. Gap option model(Gap distance: $2{\mu}m$) was assumed the possibility of play at the interface simulated the lack of real bonding between the amalgam and cavity wall (enamel and dentin). R option model was assumed non-connection between the restoration and cavty wall. A load of 500N was applied vertically at the first node from the lingual slope of the buccal cusp tip. This study analysed the displacement, 1 and 2 direction normal stress and strain with FEM software ABAQUS Version 5.2 and hardware IRIS 4D/310 VGX Work-station. The results were as followed. 1. Rodda's cavity form model showed greater amount of displacement with other two models. 2. The stress and strain were increased on the distal marginal ridge and buccopulpal line angle in Rodda's cavity form model. 3. The stress and strain were increased on the central groove and a part of distal marginal ridge in simple proximal box model and proximal box model with retention grooves. 4. With Gap option, Rodda's cavity form model showed the greatest amount of the stress on distal marginal ridge followed by proximal box model with retention grooves and simple proximal box model in descending order. 5. With Gap option, simple proximal box model showed greater amount of stress on the central groove with proximal box model with retention grooves. 6. Retention grooves in the proximal box played the role of supporting the restorations opposing to loads.

• Industrial Engineering and Management Systems
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• 제10권1호
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• pp.84-94
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• 2011

In this paper, we propose a method to provide the distribution of option price under local volatility model when market-provided implied volatility data are given. The local volatility model is one of the most widely used smile-consistent models. In local volatility model, the volatility is a deterministic function of the random stock price. Before estimating local volatility surface (LVS), we need to estimate implied volatility surfaces (IVS) from market data. To do this we use local polynomial smoothing method. Then we apply the Dupire formula to estimate the resulting LVS. However, the result is dependent on the bandwidth of kernel function employed in local polynomial smoothing method and to solve this problem, the proposed method in this paper makes use of model averaging approach by means of bandwidth priors, and then produces a robust local volatility surface estimation with a confidence interval. After constructing LVS, we price barrier option with the LVS estimation through Monte Carlo simulation. To show the merits of our proposed method, we have conducted experiments on simulated and market data which are relevant to KOSPI200 call equity linked warrants (ELWs.) We could show by these experiments that the results of the proposed method are quite reasonable and acceptable when compared to the previous works.

• 산업공학
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• 제24권4호
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• pp.408-419
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• 2011

R&D is a foundation for new business chance and productivity improvement leading to enormous expense and a long-term multi-step process. During the R&D process, decision-makers are confused due to the various future uncertainties that influence economic and technical success of the R&D projects. For these reasons, several decision-making models for R&D project investment have been suggested; they are based on traditional methods such as Discounted Cash Flow (DCF), Decision Tree Analysis (DTA) and Real Option Analysis (ROA) or some fusion forms of the traditional methods. However, almost of the models have constraints in practical use owing to limits on application, procedural complexity and incomplete reflection of the uncertainties. In this study, to make the constraints minimized, we propose a new model named Real Option Decision Tree Model which is a conceptual combination form of ROA and DTA. With this model, it is possible for the decision-makers to simulate the project value applying the uncertainties onto the decision making nodes.

• 한국지능정보시스템학회:학술대회논문집
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• 한국지능정보시스템학회 2000년도 추계정기학술대회:지능형기술과 CRM
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• pp.489-497
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• 2000

After IMF situation, the money market environment is changing rapidly. Therefore, many companies including financial institutions and many individual investors are concerned about forecasting the money market, and they make an effort to insure the various profit and hedge methods using derivatives like option, futures and swap. In this research, we developed a prototype of forecasting system for KOSPI 200 option, especially call option, trading using artificial neural networks(ANN), To avoid the overfitting problem and the problem involved int the choice of ANN structure and parameters, we employed the ANN ensemble approach. We conducted two types of simulation. One is conducted with the hold signals taken into account, and the other is conducted without hold signals. Even though our models show low accuracy for the sample set extracted from the data collected in the early stage of IMF situation, they perform better in terms of profit and stability than the model that uses only the theoretical price.

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

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

• Nuclear Engineering and Technology
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• 제48권3호
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• pp.711-718
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• 2016

Steady-state operation of a fusion power plant requires external current drive to minimize the power requirements, and a high fraction of bootstrap current is required. One of the external sources for current drive is lower hybrid current drive, which has been widely applied in many tokamaks. Here, using lower hybrid simulation code, we calculate electron distribution function, electron currents and phase velocity changes for two options of demonstration reactor at the launched lower hybrid wave frequency 5 GHz. Two plasma scenarios pertaining to two different demonstration reactor options, known as pulsed (Option 1) and steady-state (Option 2) models, have been analyzed. We perceive that electron currents have major peaks near the edge of plasma for both options but with higher efficiency for Option 1, although we have access to wider, more peripheral regions for Option 2. Regarding the electron distribution function, major perturbations are at positive velocities for both options for flux surface 16 and at negative velocities for both options for flux surface 64.