• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Korean Journal of Agricultural and Forest Meteorology
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• v.14 no.3
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• pp.132-141
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• 2012

Climate change impact assessment of cereal crop production in South Korea was performed using land attributes and daily weather data at a farm scale as inputs to crop models. Farmlands in South Korea were grouped into 68 crop-simulation zone units (CZU) based on major mountains and rivers as well as existing land use information. Daily weather data at a 1-km grid spacing under the A1B- and RCP8.5 scenarios were generated stochastically to obtain decadal mean of daily data. These data were registered to the farmland grid cells and spatially averaged to represent climate conditions in each CZU. Monthly climate data for each decade in 2001~2100 were transformed to 30 sets of daily weather data for each CZU by using a stochastic weather generator. Soil data and crop management information for 68 CZU were used as inputs to the CERES-rice, CERE-barley and CROPGRO-soybean models calibrated to represent the genetic features of major domestic cultivars in South Korea. Results from the models suggested that the heading or flowering of rice, winter barley and soybean could be accelerated in the future. The grain-fill period of winter barley could be extended, resulting in much higher yield of winter barley in most CZUs than that of rice. Among the three major cereal grain crops in Korea, rice seems most vulnerable to negative impact of climate change, while little impact of climate change is expected on soybeans. Because a positive effect of climate change is projected for winter barley, policy in agricultural production should pay more attention to facilitate winter barley production as an adaptation strategy for the national food security.

• Economic and Environmental Geology
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• v.46 no.4
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• pp.313-327
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• 2013

In the study, three-dimensional geostatistical simulations on McMurray Formation which is the largest oil sand reservoir in Athabasca area, Canada were performed, and the optimal site for steam assisted gravity drainage (SAGD) was selected based on the predictions. In the selection, the factors related to the vertical extendibility of steam chamber were considered as the criteria for an optimal site. For the predictions, 110 borehole data acquired from the study area were analyzed in the Markovian transition probability (TP) framework and three-dimensional distributions of the composing media were predicted stochastically through an existing TP based geostatistical model. The potential of a specific medium at a position within the prediction domain was estimated from the ensemble probability based on the multiple realizations. From the ensemble map, the cumulative thickness of the permeable media (i.e. Breccia and Sand) was analyzed and the locations with the highest potential for SAGD applications were delineated. As a supportive criterion for an optimal SAGD site, mean vertical extension of a unit permeable media was also delineated through transition rate based computations. The mean vertical extension of a permeable media show rough agreement with the cumulative thickness in their general distribution. However, the distributions show distinctive disagreement at a few locations where the cumulative thickness was higher due to highly alternating juxtaposition of the permeable and the less permeable media. This observation implies that the cumulative thickness alone may not be a sufficient criterion for an optimal SAGD site and the mean vertical extension of the permeable media needs to be jointly considered for the sound selections.

• Korean Journal of Agricultural and Forest Meteorology
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• v.8 no.4
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• pp.209-221
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• 2006

The purpose of this study is to analyze the effects of climate change on the nonpoint source pollution in a small watershed using a mid-range model. The study area is a basin in a rural area that covers 384 ha with a composition of 50% forest and 19% paddy. The hydrologic and water quality data were monitored from 1996 to 2004, and the feasibility of the GWLF (Generalized Watershed Loading function) model was examined in the agricultural small watershed using the data obtained from the study area. As one of the studies on climate change, KEI (Korea Environment Institute) has presented the monthly variation ratio of rainfall in Korea based on the climate change scenario for rainfall and temperature. These values and observed daily rainfall data of forty-one years from 1964 to 2004 in Suwon were used to generate daily weather data using the stochastic weather generator model (WGEN). Stream runoff was calibrated by the data of $1996{\sim}1999$ and was verified in $2002{\sim}2004$. The results were determination coeff, ($R^2$) of $0.70{\sim}0.91$ and root mean square error (RMSE) of $2.11{\sim}5.71$. Water quality simulation for SS, TN and TP showed $R^2$ values of 0.58, 0.47 and 0.62, respectively, The results for the impact of climate change on nonpoint source pollution show that if the factors of watershed are maintained as in the present circumstances, pollutant TN loads and TP would be expected to increase remarkably for the rainy season in the next fifty years.