• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options. We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

• Bulletin of the Korean Chemical Society
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• v.13 no.3
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• pp.296-306
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• 1992

$^{13}C$ spin-lattice relaxation times were measured for n-alkanes of moderate chain length, ranging from n-octane to n-dodecane, under the condition of proton broad-band decoupling within the temperature range of 248-318 K in order to gain some insight into basic features of segmental motions occurring in long chain ploymeric molecules. The NOE data showed that except for methyl carbon-13 dipole-dipole interactions between $^{13}C$ and directly bonded $^1H$ provide the major relaxation pathway, and we have analyzed the observed $T_1data$ on the basis of the internal rotational diffusion theory by Wallach and the conformational jump theory by London and Avitabile. The results show that the internal rotational diffusion constants about C-C bonds in the alkane backbone are all within the range of $10^9\;-10^10\;sec^{-1}$ in magnitude while the mean lifetimes for rotational isomers are all of the order of $10^{-11}\;-10^{-10}$ sec. Analysis by the L-A theory predicts that activation energies for conformational interconversion between gauche and trans form gradually increase as we move from the chain end toward the central C-C bond and they are within the range of 2-4 kcal/mol for all the compounds investigated.

• Journal of applied mathematics & informatics
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• v.29 no.5_6
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• pp.1311-1325
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• 2011

In this paper the Milstein method is proposed to approximate the solution of a linear stochastic differential equation with Poisson-driven jumps. The strong Milstein method and the weak Milstein method are shown to capture the mean square stability of the system. Furthermore using some technique, our result shows that these two kinds of Milstein methods can well reproduce the stochastically asymptotical stability of the system for all sufficiently small time-steps. Some numerical experiments are given to demonstrate the conclusions.

• The Pure and Applied Mathematics
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• v.21 no.4
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• pp.295-305
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• 2014

Yan & Hanson [8] and Makate & Sattayatham [6] extended Bates' model to the stochastic volatility model with jumps in both the stock price and the variance processes. As the solution processes of finding the characteristic function, they sought such a function f satisfying $$f({\ell},{\nu},t;k,T)=exp\;(g({\tau})+{\nu}h({\tau})+ix{\ell})$$. We add the term of order ${\nu}^{1/2}$ to the exponent in the above equation and seek the explicit solution of f.

• Journal of the Korean Society for Nondestructive Testing
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• v.33 no.2
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• pp.187-192
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• 2013

Fatigue crack was detected from a temperature change around surface crack using the thermographic technique. Thermal gradient across the crack decreased very much due to thermal resistance of contact surface in the crack. Heat diffusion flow passing through the discontinuity was visualized in temperature by infrared camera to find and locate the crack. A fatigue crack specimen(SM-45C), which was prepared according to KS specification and notched in its center to initiate fatigue crack from the notch tip, was heated by halogen lamp at the end of one side to generate a heat diffusion flow in lateral direction. A abrupt jump in temperature across the fatigue crack was observed in thermographic image, by which the crack could be located and sized from temperature distribution.

• Journal of the Semiconductor & Display Technology
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• v.8 no.3
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• pp.31-37
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• 2009

This paper presents one and two dimensional simulation results with discontinuous features (shocks) of capacitively coupled rf plasmas. The model consists of the first two and three moments of the Boltzmann equation for the ion and electron fluids respectively, coupled to Poisson's equation for the self-consistent electric field. The local field and drift-diffusion approximations are not employed, and as a result the charged species conservation equations are hyperbolic in nature. Hyperbolic equations may develop discontinuous solutions even if their initial conditions are smooth. Indeed, in this work, secondary electron emission is shown to produce transient electron shock waves. These shocks form at the boundary between the cathodic sheath (CS) and the quasi-neutral (QN) bulk region. In the CS, the electrons emitted from the electrode are accelerated to supersonic velocities due to the large electric field. On the other hand, in the QN the electric field is not significant and electrons have small directed velocities. Therefore, at the transition between these regions, the electron fluid decelerates from a supersonic to a subsonic velocity in the direction of flow and a jump in the electron velocity develops. The presented numerical results are consistent with both experimental observations and kinetic simulations.