• East Asian mathematical journal
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• v.37 no.1
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• pp.79-85
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• 2021

In this paper, we investigate the valuation of vulnerable exchange option that has credit risk of option issuer. The reduced-form model is used to model credit risk. We assume that credit event is determined by the jump of the counting process with stochastic intensity, which follows the mean reverting process. We propose a simple approach to derive the closed-form pricing formula of vulnerable exchange option under the reduced-form model and provide the pricing formula as the standard normal cumulative function.

• Journal of the Chungcheong Mathematical Society
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• v.33 no.2
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• pp.181-195
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• 2020

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

• East Asian mathematical journal
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• v.37 no.5
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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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• v.37 no.5
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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.

• Journal of applied mathematics & informatics
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• v.41 no.1
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• pp.33-50
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• 2023

Foreign exchange options are derivative financial instruments that can exchange one currency for another at a prescribed exchange rate on a specified date. In this study, we examine the analytic formulas for vulnerable foreign exchange options based on multi-scale stochastic volatility driven by two diffusion processes: a fast mean-reverting process and a slow mean-reverting process. In particular, we take advantage of the asymptotic analysis and the technique of the Mellin transform on the partial differential equation (PDE) with respect to the option price, to derive approximated prices that are combined with a leading order price and two correction term prices. To verify the price accuracy of the approximated solutions, we utilize the Monte Carlo method. Furthermore, in the numerical experiments, we investigate the behaviors of the vulnerable foreign exchange options prices in terms of model parameters and the sensitivities of the stochastic volatility factors to the option price.

• Journal of applied mathematics & informatics
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• v.39 no.5_6
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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.

• Journal of Korea Planning Association
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• v.53 no.7
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• pp.87-107
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• 2018

With more than 10 million inhabitants, in particular, Seoul, the capital of Korea, has already experienced a number of severe heat wave. To alleviate the potential impacts of heat wave and the vulnerability to heat wave, policy-makers have generally considered the option of heat wave strategies containing adaptation elements. From the perspective of sustainable planning for adaptation to heat wave, the objective of this study is to identify the elements of vulnerability and assess heat wave-vulnerability at the dong level. This study also performs an exploratory investigation of the spatial pattern of vulnerable areas in Seoul to heat wave by applying exploratory spatial data analysis. Then this study attempts to select areas with the relatively highest and lowest level of adaptive capacity to heat wave based on an framework of climate change vulnerability assessment. In our analysis, the adaptive capacity is the relatively highest for Seongsan-2-dong in Mapo and the relatively lowest for Changsin-3-dong in Jongno. This study sheds additional light on the spatial patterns of heat wave-vulnerability and the relationship between adaptive capacity and heat wave.

• Journal of Climate Change Research
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• v.7 no.1
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• pp.69-75
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• 2016

Recently, many countries all over the world have been suffered from disaster caused by climate change. Especially in case of developed countries, the disaster is concentrated in the industry sector. In this research, we analyzed industrial vulnerable homogeneous hotspot for the climate change using spatial autocorrelation analysis on the south Korea. Homogeneous hot spot areas through autocorrelation analysis indicate the spatial pattern of areas interacted each other. Industry sector have responsibility of green house gas emissions, and should adapt to the climate change caused by greenhouse gas already released. So, we integrated the areas sensitive to mitigation option with the areas hardly adapt to climate change because of vulnerable infrastructure. We expected that the result of this research could contribute to the decision-making system of climate change polices.

• Transactions of the Korean Society of Pressure Vessels and Piping
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• v.14 no.2
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• pp.88-95
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• 2018

In this study, to enhance the seismic performance of nuclear power plants (NPP), a small laminated rubber bearing (LRB) is chosen as a seismic design option of the vulnerable equipment. Prior to the application of equipment base isolation, it is necessary to review the feasibility that the technique contributes enough to the seismic performance of NPP by analysis. At first, some preliminary design of small LRBs for equipment is carried out. Design parameters such as horizontal and vertical stiffnesses, design natural frequencies are checked by calculation and analysis for the four design options considering various upper weights. Performance test of small LRB is to be carried out to verify static performance using the results.

• Architectural research
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• v.12 no.2
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• pp.63-72
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• 2010

Affordable housing has been a critical issue in the face of global economy and notably formulated a crucial agenda of the housing policy. While each local government seriously considers many approaches to providing affordable housing, a unique and innovative way to address it at a community level is fully uncovered, particularly nonmetropolitan areas where resources for economic development are limited and vulnerable. The purpose of this study is to examine the mechanism of the provision of affordable housing for the elderly in nonmetropolitan areas. In doing so, this research investigates the housing development and delineates it as one viable solution that stimulates local communities. The affordable housing development, as a viable option to spur local development and vibrate community, is closely reviewed, and the factors to make it feasible are drawn. The findings indicate that it is widely recognized that keeping the elderly in the community positively contributes to maintaining a sustainable community. In fact, the idea of affordable housing development for middle-class elderly people is brought by one inspired long-time resident, and it is expedited by the consensus and cohesion of local community. The development stimulates local businesses in relation to housing, and all homes sold by the elderly moving in the new housing are available for young families. Also, the presence of affordable housing for the elderly who are able to independently live is extended to a picture of aging-in-place at a broader level.