• 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.

• East Asian mathematical journal
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• 제37권5호
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• pp.553-566
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• 2021

In the over-the-counter market, option's buyers could have a problem for default risk caused by option's writers. In addition, many participants try to maximize their benefits obviously in investing the financial derivatives. Taking all these circumstances into consideration, we deal with the vulnerable power options under a constant elasticity variance (CEV) model. We derive an analytic pricing formula for the vulnerable power option by using the asymptotic analysis, and then we verify that the analytic formula can be obtained accurately by comparing our solution with Monte-Carlo price. Finally, we examine the effect of CEV on the option price based on the derived solution.

• 신재생에너지
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• 제10권1호
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• pp.41-49
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• 2014

For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such as annual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate option values of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimation due to meteorological variation and estimation errors in wind speed distribution, 2) changes in system marginal price (SMP), and 3) interest rate fluctuation of project financing which provides refinancing option to be exercised during a loan tenor for commercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study for a FIT scheme wind project that was sold to a financial investor.

• 한국의류산업학회지
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• 제26권3호
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• pp.239-250
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• 2024

This study aims to investigate the factors influencing donation intention when the option to donate is presented during a purchase decision. Through an experimental design, we examined how price differences and reference group effects impact donation intention. We created stimuli with three price difference conditions (high, low, and control) and two levels of referent power (high and low), and involved 480 Korean consumer panels in the experiments. After controlling for psychological reactance levels, a two-way MANCOVA confirmed the main effects of price difference and referent power but found no interaction effect between these variables. Notably, consumers were less likely to feel guilty for not selecting the donation option when its price was slightly higher than that of the non-donation option, compared to the scenario where the prices were the same. Additionally, consumers exposed to high referent power experienced greater irritation, guilt, and shame if they did not choose the donation option compared to the low referent power group. Multiple regression results showed that guilt significantly influenced the intention to purchase a donation option, whereas irritation and shame did not. These findings suggest that understanding situational factors such as price differences and referent power can help develop effective marketing strategies and encourage voluntary participation in donations.

• Journal of applied mathematics & informatics
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• 제39권5_6호
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• pp.677-688
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• 2021

In the modern financial market, the scale of financial instrument transactions in the over-the-counter (OTC) market are increasing. However, in this market, there exists a counterparty credit risk. Herein, we obtain a closed-form solution of power option with credit risks, using the double Mellin transforms. We also use a numerical method to compare the differentiations of option price between the closed-form solution and Monte-Carlo simulation. The result shows that the closed-form solution is precise. In addition, the option's price is sensitive to the exponent of the maturity stock price.

• 한국수소및신에너지학회논문집
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• 제25권3호
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• pp.319-335
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• 2014

This study attempts to suggest an economic analysis model for SNG projects, which can reflect the future uncertainty objectively and applies the real option valuation incorporating the flexible investment decision. Based on this analysis model, net present value and internal rate of return were estimated by using preliminary feasibility study report of SNG project. And economic evaluation of SNG project was performed with real option valuation using binomial option model. Through this, the difference of analysis results between the real option valuation model and the discounted cash flow model were compared and the usefulness of the real option valuation model was confirmed. From the actual proof analysis, it is confirmed that the real option valuation model showed higher SNG project value than the discounted cash flow model did. It was confirmed that by applying the real option valuation model, economic analysis can be performed on not only the current straightforward SNG project, but also various future portfolios having options such as expansion, modification, or decommission.

• 한국전기전자재료학회논문지
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• 제26권9호
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• pp.690-700
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• 2013

This study reviewed how the changes of the government policy on solar power generation projects affected the annual mandatory quotas of the regulated power providers under the RPS (renewable portfolio standard) system and analysed economic feasibility of the investment for meeting their quotas as compared to the case of non-regulated power providers. The analysis results showed that under the discount rate of 7.5%, which was used for the annual national electricity plans for the recent years, both the regulated and non-regulated power providers achieved economic feasibility under both the NPV (net present value) method and the real option pricing method. It was also shown that higher profitability was attained by non-regulated power providers than by their regulated counterparts, which can be attributable to the fact that regulated providers are required to out-source 50% of the total quota. The results of this study are considered to be useful for establishing a meaningful mid term or long term strategy for the future of solar power generation linked to the current RPS system.

• 한국전자거래학회지
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• 제24권2호
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• pp.125-141
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• 2019

본 논문에서는 중국과 태국의 각 5개 지역에 대해 SAM(System Advisor Model)의 태양광 자료를 활용하여 주거용 태양광 시스템 투자 경제성을 분석하였다. 이는 기존 문헌과 달리 태양광 시스템의 비용 불확실성과 이로 인해 발생할 수 있는 투자자의 의사결정 유연성을 고려할 수 있는 real option 모형을 활용하여 최적 투자 시점의 관점에서 수행되었다. 본 연구결과 real option에 의한 투자 시점과 일반적으로 많이 사용되는 순현가법에 의한 결과와의 차이가 약 6년에서 14년 정도로 나타났다. 또한, 일부 지역에서는 순현가법에 의하면 투자가 적정한 것으로 판단되나 real option에 따른 결과는 투자를 지연하는 것이 합리적이라는 결론을 보여준다.

• 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.