• Industrial Engineering and Management Systems
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• 제10권1호
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• pp.84-94
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• 2011

In this paper, we propose a method to provide the distribution of option price under local volatility model when market-provided implied volatility data are given. The local volatility model is one of the most widely used smile-consistent models. In local volatility model, the volatility is a deterministic function of the random stock price. Before estimating local volatility surface (LVS), we need to estimate implied volatility surfaces (IVS) from market data. To do this we use local polynomial smoothing method. Then we apply the Dupire formula to estimate the resulting LVS. However, the result is dependent on the bandwidth of kernel function employed in local polynomial smoothing method and to solve this problem, the proposed method in this paper makes use of model averaging approach by means of bandwidth priors, and then produces a robust local volatility surface estimation with a confidence interval. After constructing LVS, we price barrier option with the LVS estimation through Monte Carlo simulation. To show the merits of our proposed method, we have conducted experiments on simulated and market data which are relevant to KOSPI200 call equity linked warrants (ELWs.) We could show by these experiments that the results of the proposed method are quite reasonable and acceptable when compared to the previous works.

• Journal of the Korean Data and Information Science Society
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• 제20권1호
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• pp.1-9
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• 2009

회귀모형의 분산함수가 알려져 있지 않은 한 점에서 불연속이라 가정하자. Yu와 Jones (2004)는 음이 아닌 값을 취하는 분산함수를 실수 값을 취하도록 하기 위하여 로그 변환하였고, 변환된 로그분산함수를 국소다항적합으로 추정하였다. 로그분산함수의 국소다항적합을 이용하여, Huh (2008)는 분산함수의 불연속점의 추정하는 대신 로그분산함수의 불연속점을 추정하였다. 본 연구는 Huh의 점프의 크기 추정량의 점근분포를 이용하여 로그분산함수의 불연속점의 존재여부에 대한 가설검정을 제안하고, 제안한 방법에 대한 모의실험 결과를 제시하고자 한다.

• Journal of the Optical Society of Korea
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• 제17권3호
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• pp.255-261
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• 2013

Scene-based nonuniformity correction techniques for infrared focal-plane arrays have been widely considered as a key technology, and various algorithms have been proposed to compensate for fixed-pattern noise. However, the existed algorithms' capability is always restricted by the problems of convergence speed and ghosting artifacts. In this paper, an effective scene-based nonuniformity correction method is proposed to solve these problems. The algorithm is an improvement over the constant statistics method and a temporal median is utilized with the Gaussian kernel to estimate the nonuniformity parameters. Also theoretical analysis is conducted to demonstrate that effective ghosting artifacts elimination and superior convergence speed can be obtained with the proposed method. Finally, the performance of the proposed technique is tested with infrared image sequences with simulated nonuniformity and with infrared imagery with real nonuniformity. The results show the proposed method is able to estimate each detector's gain and to offset reliably and that it performs better in increasing convergence speed and reducing ghosting artifacts compared with the conventional techniques.

• 대한전자공학회:학술대회논문집
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• 대한전자공학회 2005년도 추계종합학술대회
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• pp.849-852
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• 2005

A factorization is an extremely important part of multi-level logic synthesis. The number of literals in a factored from is a good estimate of the complexity of a logic function, and can be translated directly into the number of transistors required for implementation. Factored forms are described as either algebraic or Boolean, according to the trade-off between run-time and optimization. A Boolean factored form contains fewer number of literals than an algebraic factored form. In this paper, we present a new method for a Boolean factorization. The key idea is to identify two-cube Boolean subexpression pairs from given expression. Experimental results on various benchmark circuits show the improvements in literal counts over the algebraic factorization based on Brayton's co-kernel cube matrix.

• Journal of Advanced Marine Engineering and Technology
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• 제33권2호
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• pp.344-354
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• 2009

Side scan sonar using acoustic wave plays a very important role in the underwater, sea floor, and shallow marine geologic survey. In this study, we have acquired side scan sonar data for the underwater man-made structures, artificial reefs and fishing grounds, installed and distributed in the survey area. We applied digital image processing techniques to side scan sonar data in order to improve and enhance an image quality. We carried out digital image processing with various kinds of filtering in spatial domain and frequency domain. We tested filtering parameters such as kernel size, differential operator, and statistical value. We could easily estimate the conditions, distribution and environment of artificial structures through the interpretation of side scan sonar.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2005년도 춘계학술대회
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• pp.155-163
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• 2005

This paper applies Support Vector Regression (SVR) to estimate and forecast nonlinear autoregressive integrated (ARI) model of the daily exchange rates of four currencies (Swiss Francs, Indian Rupees, South Korean Won and Philippines Pesos) against U.S. dollar. The forecasting abilities of SVR are compared with linear ARI model which is estimated by OLS. Sensitivity of SVR results are also examined to kernel type and other free parameters. Empirical findings are in favor of SVR. SVR method forecasts exchange rate level better than linear ARI model and also has superior ability in forecasting the exchange rates direction in short test phase but has similar performance with OLS when forecasting the turning points in long test phase.

• 한국원자력학회:학술대회논문집
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• 한국원자력학회 2004년도 추계학술발표회 발표논문집
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• pp.1047-1048
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• 2004

Simulation Coated layers of a nuclear fuel particle were evaluated by field emission scanning electron microscopy and nano-indentation method to give basic data to estimate 'Amoeba effect' and give an optimum fabrication condition and high quality control. Coated layers on the fuel kernel are in the order of buffer pyrolytic carbon, inner pyrolytic carbon, silicon carbide and outer pyrolytic carbon layers, which average thicknesses are 95, 25, 30 and 28 ${\mu}m$, respectively. Their densities and hardnesses are 1.08, 1.15, 3.18, 1.82 $g/cm^3$ and 0.522, 0.874, 9.641, and 2.726 GPa, respectively. Comparing theoretical density of pyrolytic carbon of 2.22 $g/cm^3$, the relative amount of porosity in each layer is about 52% for buffer, 48% for inner PyC and 18% for outer PyC.

• Communications for Statistical Applications and Methods
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• 제22권3호
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• pp.305-312
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• 2015

We extend a generalized partially linear single-index model and newly define a generalized partially double-index model (GPDIM). The philosophy of sufficient dimension reduction is adopted in GPDIM to estimate unknown coefficient vectors in the model. Subsequently, various combinations of popular sufficient dimension reduction methods are constructed with the best combination among many candidates determined through a bootstrapping procedure that measures distances between subspaces. Distinguishing values are newly defined to match the estimates to the corresponding population coefficient vectors. One of the strengths of the proposed model is that it can investigate the appropriateness of GPDIM over a single-index model. Various numerical studies confirm the proposed approach, and real data application are presented for illustration purposes.

• 한국컴퓨터산업학회논문지
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• 제7권4호
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• pp.293-298
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• 2006

본 논문에서는 부울 분해식을 산출하기 위한 방법을 제시한다. SIS 1.2에서 사용되는 코커널 큐브 행렬은 코커널/커널들로부터 만들어지며, 이 행렬은 단지 대수 분해식만을 산출한다. 제안한 방법은 2개의 항에서 공통인수를 추출하고, 이들로부터 분해식 산출 행렬을 만들고 이로부터 부울 분해식을 산출하는 방법을 제안한다.

• Journal of applied mathematics & informatics
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• 제29권1_2호
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• pp.211-225
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• 2011

In this paper, a class of bi-directional associative memory (BAM) fuzzy cellular neural networks with distributed delays and impulses is formulated and investigated. By employing an integro-differential inequality with impulsive initial conditions and the topological degree theory, some sufficient conditions ensuring the existence and global exponential stability of equilibrium point for impulsive BAM fuzzy cellular neural networks with distributed delays are obtained. In particular, the estimate of the exponential convergence rate is also provided, which depends on the delay kernel functions and system parameters. It is believed that these results are significant and useful for the design and applications of BAM fuzzy cellular neural networks. An example is given to show the effectiveness of the results obtained here.