• 한국수학교육학회지시리즈B:순수및응용수학
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• 제22권3호
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• pp.299-313
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• 2015

In this paper, we show the effectiveness of copulas by comparing the correlation of market data of year 2010 with those of years 2006-2009 and investigate copula functions as pricing methods of digital and rainbow options through real market data. We propose an accurate method of pricing rainbow options by using the correlation coefficients obtained from the copula functions depending on strike prices between assetes instead of simple traditional correlation coefficients.

• East Asian mathematical journal
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• 제40권1호
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• pp.63-74
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• 2024

Timer options are financial instruments proposed by Société Générale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.

• 디지털융복합연구
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• 제7권1호
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• pp.73-80
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• 2009

In this study, the pricing performances of alternative simple option models are examined by creating a simulated market environment in which asset prices evolve according to a stochastic volatility process. To do this, option prices fully consistent with Heston[9]'s model are generated. Assuming this prices as market prices, the trading positions utilizing the Black-Scholes[4] model, a semi-parametric Corrado-Su[7] model and an ad-hoc modified Black-Scholes model are evaluated with respect to the true option prices obtained from Heston's stochastic volatility model. The simulation results suggest that both the Corrado-Su model and the modified Black-Scholes model perform well in this simulated world substantially reducing the biases of the Black-Scholes model arising from stochastic volatility. Surprisingly, however, the improvements of the modified Black-Scholes model over the Black-Scholes model are much higher than those of the Corrado-Su model.

• 한국디지털건축인테리어학회논문집
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• 제10권2호
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• pp.5-12
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• 2010

Unlike housing development project that can ensure profit by selling built units, a hotel development depends on long-term business operation to be profitable due to characteristics of service industry. The expected cash flow has substantial uncertainty depending on room occupancy rate and room charge. Thus, even after construction is complete, business risk tends to rise. It is necessary to ensure strategic response to uncertainty in future value of a hotel. The objective of the study is to explore strategic measures to deal with risk and uncertain future value in hotel development project by adopting abandonment option, which is a type of real options. The case in analysis had sevenyears of project period: Two years for construction, and five years for operation; a plan was made to sell the hotel after five years' of operation. For the research purpose, option value ofrecoverable investment amount was estimated, and value of abandonment option was KRW 124.921 billion. When abandonment option is applied, the project value was deemed to be KRW 120.592 billion. Generally, the amount of loss is enormous when a real estate project like a hotel development fails, and therefore, application of option is expected to be an effective measure to leverage uncertainty of a project.

• 디지털산업정보학회논문지
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• 제6권3호
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• pp.211-219
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• 2010

This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

• 디지털산업정보학회논문지
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• 제18권1호
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• pp.11-24
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• 2022

Open Radio Access Network (O-RAN) standard has been proposed to separate the baseband signal processing unit from the Radio Frequency (RF) unit at base station system mainly for reducing the cost of base station systems through open-source interfaces between the two units. To satisfy the performance metrics in various scenarios, several fronthaul functional split options were presented by O-RAN. Amongst these options, the split option 7-2x is widely adopted in practical applications due to its excellent trade-off between the required bandwidth and RU overhead. In this paper, we present a hardware implementation of a base station system that is compliant with the Category B of O-RAN split option 7-2x. It consists of O-DU and O-RU implemented with a commercial off-the-shelf Digital Signal Processor and RF transceiver, respectively. The performance of the proposed base station system is evaluated in terms of Bit Error Rate and received signal power as well as the required fronthaul bandwidth. Through various experimental tests, we have observed that the proposed system reduces the fronthaul bandwidth nearly by 89.7% compared to the conventional system that dose not employ the O-RAN standard.

• ETRI Journal
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• 제28권3호
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• pp.364-366
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• 2006

This letter introduces an efficient transmission of traffic information through a terrestrial digital multimedia broadcasting system, which is a multimedia and mobility empowered option of the European digital audio broadcasting system. By adapting Korean characteristic traffic information into the transport protocol expert group messages in the traffic information delivery, a highly efficient traffic information system was implemented and tested in Korea.

• 대한통합의학회지
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• 제11권2호
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• pp.1-13
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• 2023

Purpose : Along with the rapid development of digital technology, the application of digital healthcare in the medical field is also increasing. According to many experts, increasing the amount of exercise and physical activity is a helpful way to prevent and manage physical problems in modern society. However, a lack of exercise, which is of the lifestyle of modern people, leads to the development of various diseases. This study aimed to examine the effects of digital exercise intervention using artificial intelligence (AI) on the physical abilities of adults whether digital exercise intervention can be a reliable and effective therapeutic option for musculoskeletal disorders in real-world clinical settings. Methods : In this study, exercise was conducted using a digital application to investigate the effects of an AI-based digital exercise intervention on the physical abilities of adults. A total of 13 adults were evaluated, and their physical abilities before and after the exercise intervention were compared. Hand-grip strength, functional leg muscle strength, dynamic balance, and quadriceps muscle strength were assessed. Exercise was performed using a digital application and in a non-face-to-face manner. AI identified the exercise status of each participant and adjusted the exercise difficulty level accordingly. The exercised daily for 4 weeks. Results : A total of 12 participants were analyzed for the final results. Significant improvements were observed in hand-grip strength, functional leg muscle strength (evaluated using the stand-up test), dynamic balance, and straight-gait ability (p<.05), indicating an increase in the overall muscular strength and physical function of the participants. Conclusions : Digital exercise intervention using AI is effective in improving physical abilities related to musculoskeletal function. It can be useful in clinical practice as an effective treatment option for patients with musculoskeletal disorders or muscle weakness.

• 디지털산업정보학회논문지
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• 제6권1호
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• pp.151-157
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• 2010

This paper proposes the Pyramid strategy which is based on the straddle sell. The Pyamid strategy has multi-entry features with starting date and delta parameters. And It is hedged against a loss by mutual trades and dynamic ripples. This paper analyzes the profit and MDD(maximum draw down) of the Pyramid strategy on system trading. The portfolio tool is used for the experiment which is one of the Multicharts' package. The Multicharts is a good trading system of recent years. For the experiment, three call options and three put options are used at october in 2009. Two parameters are used which are the starting date from first October to twentieth October in 2009 and delta from eight percent to fifty percent. As a result, the profit of composite option is about 3 million won. If the strategy starts before the beginning of option month, investors feel uncomfortable because of a large MDD. If a delta belows 20%, it shows high profit and the ratio of profit and MDD builds up a low value. However a low delta makes frequent trades and results in a loss unless increasing entry levels which mean more amount of investment. This work provides a safer trade system than native option trades. It is important how much levels of multi-entry are acceptable. And an amount of investment with appropriate levels of multi-entry is a subject of a future study.

• ETRI Journal
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• 제32권1호
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• pp.154-156
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• 2010

Oscillation-based testing of analog-to-digital converters represents a viable option for low-cost built-in self-testing in mixed-signal design. While numerous papers have addressed implementation issues, little attention has been paid to the measurement accuracy. In this letter, we highlight an inherent measurement uncertainty which has to be considered when deriving the parameters from the oscillation frequency.