• 대한수학회논문집
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• 제39권2호
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• pp.535-546
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• 2024

We consider chooser options written on various underlying assets other than vanilla call and put options. Specifically, we deal with (i) the chooser option written on the power call and put options, and (ii) the chooser option written on the exchange options. We provide explicit formulas for the prices of these chooser options whose underlying assets are either power options or exchange options, rather than the vanilla call and put options.

• East Asian mathematical journal
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• 제37권5호
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• pp.567-576
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• 2021

In this paper, we deal with the pricing of vulnerable power exchange option. We consider the hybrid model as the credit risk model. The hybrid model consists of a combination of the reduced-form model and the structural model. We derive the closed-form pricing formula of vulnerable power exchange option based on the change of measure technique.

• 대한수학회보
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• 제56권2호
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• pp.351-364
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• 2019

We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.

• 한국콘텐츠학회논문지
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• 제13권12호
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• pp.369-378
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• 2013

원-달러 장외 외환 시장은 1990년말 외환위기 및 2008년 서브프라임 위기때 극심한 변동성을 보였으므로 변동성 연구에 적합한 특성을 띤다. 본고는 ARCH 모형에 기반해 옵션 가격 결정 모형을 제시한 Duan, Heston and Nandi의 GARCH 모형으로 외환 옵션 시장에서 변동성의 특성이 옵션 가격에 반영되는 정도를 분석해 보았다. 2006년 5월부터 2013년 1월까지 원-달러 장외시장에서 거래되는 옵션 자료에 대해 본고는 세 가지 모형(Black and Scholes, Duan, Heston and Nandi)간의 설명력을 비교했다. 최우추정법으로 계산된 모수를 고정하고 전일 내재 변동성을 이용하여 당일의 이론 가격을 구해 오차를 계산하면 Duan 및 Black and Scholes 모형 모두 약 0.1% 수준을 보인다. 다만 Heston and Nandi는 상기 두 모형에 비해 큰 오차값을 가지며 또한 만기가 길어지면 설명력이 약해진다. 따라서 원-달러 외환 옵션시장의 경우 Duan 또는 Black and Scholes 모형을 이용하여 가치를 측정하는 것이 유용할 것으로 사료된다. 또한 정책적 시사점으로는 외환 현물 시장의 과거 변동성 평균이 14% 전후에서 형성되었으므로 내재 변동성 5%전후에서 외환 옵션 등을 매매하는 것은 매도자에게 대규모 손실을 초래할 수 있다.

• Management Science and Financial Engineering
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• 제21권2호
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• Nuclear Engineering and Technology
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• 제55권2호
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• pp.640-647
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• 2023

Material corrosion in nuclear power plant (NPP) is not controlled only by amine injection but also by ion exchange (IX) which is the best option to remove trace Na⁺. This study was conducted to understand the Na⁺ leakage characteristics of IX beds packed with ethanolamine-form (ETAH-form) and hydrogen-form (H-form) resins in the simulated water-steam cycle in terms of intrinsic behaviors of four kinds of cation-exchange resins through ASTM test and Vanselow mass action modeling. Na⁺ was inappreciably escaped throughout the channel created in resin layer. Na⁺ leakage from IX bed was non-linearly raised because of its decreasing selectivity with increasing Na⁺ capture and with increasing the fraction of ETAH-form resin. Na⁺ did not reach the breakthrough earlier than ETAH⁺ and NH₄⁺ due to the increased selectivity of Na⁺ to the cation-exchange resin (H⁺ < ETAH⁺ < NH₄⁺ ≪ Na⁺) at the feed composition. Na⁺ leakage from the resin bed filled with small particles was decreased due to the enhanced dynamic IX processes, regardless of its low selectivity. Thus, the particle size is a predominant factor among intrinsic properties of IX resin to reduce Na⁺ leakage from the condensate polishing plant (CPP) in NPPs.

• 한국유체기계학회 논문집
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• 제19권6호
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• pp.19-25
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• 2016

Anti-icing is important in gas turbines because ice formation on compressor inlet components, especially inlet guide vane, can cause performance degradation and mechanical damages. In general, the compressor bleeding anti-icing system that supplies hot air extracted from the compressor discharge to the engine intake has been used. However, this scheme causes considerable performance drop of gas turbines. A new method is proposed in this study for the anti-icing in combined cycle power plants(CCPP). It is a heat exchange heating method, which utilizes heat sources from the heat recovery steam generator(HRSG). We selected several options for the heat sources such as steam, hot water and exhaust gas. Performance reductions of the CCPP by the various options as well as the usual compressor bleeding method were comparatively analyzed. The results show that the heat exchange heating system would cause a lower performance decrease than the compressor bleeding anti-icing system. Especially, the option of using low pressure hot water is expected to provide the lowest performance reduction.

• 신재생에너지
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• 제18권2호
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• pp.50-59
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• 2022

The Korean government announced the "1st Basic Plan for the Transition to Hydrogen Economy" in 2021 and declared the establishment of a hydrogen industry ecosystem by 2040. To build a low-carbon power system, resources that can efficiently accommodate renewable energy are required, and green hydrogen is considered a potential solution. This study analyzed the economic feasibility of green hydrogen-based sector coupling to reduce curtailment of renewable generation in the Jeju power system by 2025 under the scenario of with or without HVDC#3. The result showed that HVDC#3 significantly reduced the frequency of curtailment from 16.1% to 3.0%. In addition, green hydrogen-based sector coupling was an economically feasible option as result showed an IRR of 4.86% when HVDC#3 was connected and 11.45% when it was not under the condition of achieving 50% curtailment reduction. This study shows that the higher the level of renewable energy deployment, the more delayed the HVDC connection between Jeju and the main land, and the lower the SMP, the more economically feasible the green hydrogen-based sector coupling is. Furthermore, this study suggests that the policy goal of completely reducing curtailment is not economically efficient.

• East Asian Economic Review
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• 제18권3호
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• pp.301-335
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• 2014

In this paper, we consider a small open economy under the New Keynesian model with unemployment of Gal$\acute{i}$ (2011a, b) to discuss the design of the monetary policy. Our findings can be summarized in three parts. First, even with the existence of unemployment, the optimal policy is to minimize variance of domestic price inflation, wage inflation, and the output gap when both domestic price and wage are sticky. Second, stabilizing unemployment rate is important in reducing the welfare loss incurred by both technology and labor supply shocks. Therefore, introducing the unemployment rate as an another argument into the Taylor-rule type interest rate rule will be welfare-enhancing. Lastly, controlling CPI inflation is the best option when the policy is not allowed to respond to unemployment rate. Once the unemployment rate is controlled, however, stabilizing power of CPI inflation-based Taylor rule is diminished.

• 한국초전도ㆍ저온공학회논문지
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• 제15권1호
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• pp.40-44
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• 2013

The contactless power transfer (CPT) systems have been recently gaining popularity widely since it is an available option to realize the power delivery and storage with connector-free devices across a large air gap. Especially, the CPT with electromagnetic resonance coupling method is possible to exchange energy within 2 m efficiently. However, the power transfer efficiency of CPT in commercialized products has been limited because the impedance matching of coupled coils is sensitive. As a reasonable approach, we combined the CPT system with HTS wire technology and called as, superconducting contactless power transfer (SUCPT) system. Since the superconducting coils have an enough current density, the superconducting antenna and receiver coils at CPT system have a merit to deliver and receive a mass amount of electric energy. In this paper, we present the feasibility of the SUCPT system and examine the transmission properties of SUCPT phenomenon between room temperature and very low temperature at 77 K as long as the receiver is within 1.0 m distance.