• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2003년도 추계학술대회 및 정기총회
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• pp.7-10
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• 2003

After the launch of PCS in 1997, price competition between five mobile carriers was so severe that the Korean mobile telephony market achieved a remarkable subscriber base growth. But in that optimal pricing behavior depends on how each fm is likely to react to other frims'choice of price, it is very interesting to analyze competitive pricing behavior and understand market structure in terms of pricing competitiveness in the Korean mobile telecommunications market. In this paper, we use structural econometric models in New Empirical Industrial Organization (NEIO) framework. But previously used models in this framework generally assume that market size is fixed and that all firms maximize their profits. To fit in with the Korean mobile telephony market, we derive various models in using NML market share model under the assumptions that market size varies with industry's total attractions and that firms maximize their market share. In this paper, we find that the model under market share maximization with the assumption that market size varies with total attraction shows the best fitting results.

• 대한수학회보
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• 제46권2호
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• pp.209-227
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• 2009

We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2002년도 추계학술대회 논문집 전력기술부문
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• pp.101-104
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• 2002

With the growing competitive pressure from market participants, utilities, consumer and government, analyses of existing competitive electricity market become more important. The presence of congestion in the transmission system can significantly increase the potential of exercising market power. Since the congestion in the network depends on the several factors. the market power cannot be simply analyzed through the existing indices. This paper presents a systematic analysis on local market power under uniform pricing scheme and provides some mitigation of the strategic market power.

• 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.

• KIEE International Transactions on Power Engineering
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• 제5A권3호
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• pp.228-234
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• 2005

This paper presents the evaluation of reactive power pricing through the control of generator voltages under the assumption that the reactive power market has been transformed into the real power market. By applying the concept of economic dispatch, which minimizes the total cost of real power generation to reactive power generation, the algorithm for implementing reactive power pricing is proposed to determine the optimum voltage profiles of generators. It consists of reactive power voltage equation, the objective function that minimizes the total cost of reactive power generation, and linear analysis of inequality constraints in relation to the load voltages. From this algorithm, the total cost of the reactive power generation can be yielded to the minimum value within network constraints as the range of load voltages. This may provide the fair and reasonable price information for reactive power generation in the deregulated electricity market. The proposed algorithm has been tested on the IEEE 14-bus system using MATLAB.

• 대한전기학회논문지
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• 제43권2호
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• pp.197-205
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• 1994

Security of a power system refers to its robustness relative to a set of imminent disturbances (contingencies) during operation. The socially optimal solution for the actuall level of generation/consumption has been well-known spot pricing at shot-run marginal cost. The main disadvantage of this approach arises because serious contingencies occur quite infrequently. Thus by establishing contractual obligations for contingency offering before an actual operation time through decision feedback we can obtain socially optimal level of system security. Under probabilistic precontract pricing the operating point is established at equal incremental cost of the expected short-run and collapse cost of each participant. Rates for power generation/consumption and for an offer to use during a contingency, as well as information on the probability distribution of contingency need for each participant, are derived so that individual optimization will lead to the socially optimal solution in which system security is optimized and the aggregate benefit is maxmized.

• 재무관리논총
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• 제2권2호
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• pp.171-211
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• 1995

Relatively little is known about the relationship between taxes and asset prices. Differential tax treatment of assets in the same risk class implies differential pricing. Conversely, the ability of tax-exempt investors to engage in tax arbitrage should drive any pricing differences away. The differential tax treatment of classes of US Treasury securities provides a straightforward setting for the examination of possible tax-effects in asset prices. Using the Cox-Ingersoll-Ross Term Structure Model as our framework, we examine the pricing of US Treasury securities over two distinct tax regimes. Evidence that tax effects are not arbitraged away is presented.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회/대한산업공학회 2003년도 춘계공동학술대회
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• pp.620-627
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• 2003

The real option pricing theory has emerged as the new investment decision-making techniques superceding the traditional discounted cash flow techniques and thus has greatly received muck attention from academics and practitioners in these days the theory has been widely applied to a variety of corporate strategic projects such as a new drug R&D, an internet start-up. an advanced manufacturing system. and so on A lot of people who are interested in the real option pricing theory complain that it is difficult to understand the true meaning of the real option value. though. One of the most conspicuous reasons for the complaint may be due to the fact that there exit many different ways to calculate the real options value in this paper, we will present a replicating portfolio method. a risk-neutral probability method. a risk-adjusted discount rate method (quasi capital asset pricing method). and an opportunity cost concept-based method under the conditions of a binomial lattice option pricing theory.

• Communications for Statistical Applications and Methods
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• 제20권4호
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• pp.321-327
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• 2013

Bayesian and empirical Bayesian methods have become quite popular in the theory and practice of statistics. However, the objective is to often produce an ensemble of parameter estimates as well as to produce the histogram of the estimates. For example, in insurance pricing, the accurate point estimates of risk for each group is necessary and also proper dispersion estimation should be considered. Well-known Bayes estimates (which is the posterior means under quadratic loss) are underdispersed as an estimate of the histogram of parameters. The adjustment of Bayes estimates to correct this problem is known as constrained Bayes estimators, which are matching the first two empirical moments. In this paper, we propose a way to apply the constrained Bayes estimators in insurance pricing, which is required to estimate accurately both location and dispersion. Also, the benefit of the constrained Bayes estimates will be discussed by analyzing real insurance accident data.

• 아태비즈니스연구
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• 제11권1호
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• pp.17-26
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• 2020

Purpose - This paper studies the welfare impacts of behavior-based price discrimination (BBPD) when firms are asymmetric in quality improvement costs. Design/methodology/approach - To this end, we consider a differentiated duopoly model with an inherited market share, where firms first make quality decisions and then compete in prices according to the pricing scheme, namely, uniform pricing or BBPD. Findings - We show that BBPD increases social welfare relative to uniform pricing if the firms' cost gap is large enough. This is because BBPD induces more consumers to buy a high-quality product than under uniform pricing, and because a low-cost firm's profit loss from BBPD decreases as the cost difference increases. Research implications or Originality - Our analysis offers policy implications for markets where BBPD raises antitrust concerns, and quality competition prevails.