• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.12 no.4
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• pp.271-287
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• 2008

This paper deals with American call and put options. Determining the fair price and the free boundary of an American option is a very difficult problem since they depends on each other. This paper presents numerical algorithms of finite element method based on the three-level scheme to compute both the price and the free boundary. One algorithm is designed for American call options and the other one for American put options. These algorithms are formulated on the system of the Jamshidian equation for the option price and the free boundary. Here, the Jamshidian equation is of a kind of the nonhomogeneous Black-Scholes equations. We prove the existence and uniqueness of the numerical solution by the Lax-Milgram lemma and carried out extensive numerical experiments to compare with various methods.

• Journal of Korean Society for Atmospheric Environment
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• v.7 no.3
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• pp.189-196
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• 1991

In recent years spectral methods have been found to be a powerful tool for the numerical solution of hynamic differential equations. The main attraction of spectral method is accuracy even though it is generally difficult to implement and solve the complex problems using spectral method. We introduced diffusion equations describing the state of air pollution and solved by pseutospectral method in dimensionless form. The results were compared with both those of other numerical methods and analytical solutions. Comparing with finite difference method and finite element method, spectral method shows the highest accuracy for one dimension problem in this study. Also, the results of two dimensional diffusion problems show good agreement with analytical solutions.

• Journal of applied mathematics & informatics
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• v.31 no.5_6
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• pp.609-621
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• 2013

At present, research on providing new methods to solve nonlinear integral equations for minimizing the error in the numerical calculations is in progress. In this paper, necessary conditions for existence and uniqueness of solution for nonlinear 2D Fredholm integral equations are given. Then, two different numerical solutions are presented for this kind of equations using 2D shifted Legendre polynomials. Moreover, some results concerning the error analysis of the best approximation are obtained. Finally, illustrative examples are included to demonstrate the validity and applicability of the new techniques.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2006.11a
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• pp.805-808
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• 2006

This paper deals with the dynamic stability analyses of columns with constant volume and both clamped ends. Numerical methods are developed for solving natural frequencies of such column, subjected to an axial compressive load. Differential equation governing free vibration of such column is derived. The numerical methods developed herein for computing natural frequencies are found to be efficient and robust. From the numerical results, the dynamic stability regions of such columns are obtained.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.1
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• pp.43-56
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• 2010

The representative numerical algorithms to solve the time dependent Navier-Stokes equations are projection type methods. Lots of projection schemes have been developed to find more accurate solutions. But most of projection methods [4, 11] suffer from inconsistency and requesting unknown datum. E and Liu in [5] constructed the gauge method which splits the velocity $u=a+{\nabla}{\phi}$ to make consistent and to replace requesting of the unknown values to known datum of non-physical variables a and ${\phi}$. The errors are evaluated in [9]. But gauge method is not still obvious to find out suitable combination of discrete finite element spaces and to compute boundary derivative of the gauge variable ${\phi}$. In this paper, we define 4 gauge algorithms via combining both 2 decomposition operators and 2 boundary conditions. And we derive variational derivative on boundary and analyze numerical results of 4 gauge algorithms in various discrete spaces combinations to search right discrete space relation.

• 한국전산유체공학회:학술대회논문집
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• 2000.05a
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• pp.33-38
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• 2000

A Numerical study of laminar vortex-shedding past a circular cylinder has been performed widely by many researchers. Many factors, such as numerical technique and domain size, number and shape of grid, affected predicting vortex shedding and Strouhal number. In the present study, the effect of convection scheme, time discretization methods and grid dependence were investigated. The present paper presents the finite volume solution of unsteady flow past circular cylinder at Re=200, 400. The Strouhal number was predicted using UDS, CDS, Hybrid, Power-law, LUDS, QUICK scheme for convection term, implicit and crank-nicolson methods for time discretization. The grid dependence was investigated using H-type mesh and O-type mesh. It also studied that the effect of mesh size of the nearest adjacent grid of circular cylinder. The effect of convection scheme is greater than the effect of time discretization on predicting Strouhal. It has been found that the predicted Strouhal number changed with mesh size and shape.

• Journal of the Korean Mathematical Society
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• v.57 no.5
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• pp.1239-1266
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• 2020

In this paper, some novel discrete formulations for stabilizing the mixed finite element method Q1-Q0 (bilinear velocity and constant pressure approximations) are introduced and discussed for the generalized Stokes problem. These are based on stabilizing discontinuous pressure approximations via local jump operators. The developing idea consists in a reduction of terms in the local jump formulation, introduced earlier, in such a way that stability and convergence properties are preserved. The computer implementation aspects and numerical evaluation of these stabilized discrete formulations are also considered. For illustrating the numerical performance of the proposed approaches and comparing the three versions of the local jump methods alongside with the global jump setting, some obtained results for two test generalized Stokes problems are presented. Numerical tests confirm the stability and accuracy characteristics of the resulting approximations.

• Bulletin of the Korean Mathematical Society
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• v.50 no.6
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• pp.2035-2051
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• 2013

In this paper, we study numerical schemes for solving multi-dimensional option pricing problem. We compare the direct solving method and the Operator Splitting Method(OSM) by using finite difference approximations. By varying parameters of the Black-Scholes equations for the maximum on the call option problem, we observed that there is no significant difference between the two methods on the convergence criterion except a huge difference in computation cost. Therefore, the two methods are compatible in practice and one can improve the time efficiency by combining the OSM with parallel computation technique. We show numerical examples including the Equity-Linked Security(ELS) pricing based on either two assets or three assets by using the OSM with the Monte-Carlo Simulation as the benchmark.

• Journal of the Korean Society for Railway
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• v.9 no.2 s.33
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• pp.174-179
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• 2006

Recently, the crossing tunnel has been constructed frequently to connect the separated area by highway and railroad. The construction of crossing tunnel must be progressed while maintaining the existing traffic of the highway as well as railroad. There are many cross funnelling methods such as NTR, TRCM, Messer Shield, Front Jacking, and Pipe Roof Method. The advantages of adopting RPS(Roof Panel Shield) method in crossing tunnel construction with comparing other existing cross funnelling methods are needed a little volume of concrete and easy to change the direction of cutting shoe during the construction of pipe roof, The 3-dimensional numerical analysis of RPS to consider the arching effect was performed for the application in the crossing tunnel under railroad. The earth pressure distribution and settlement were predicted when the RPS method was applied during the excavation for crossing railroad tunnel construction.

• Publications of The Korean Astronomical Society
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• v.13 no.1 s.14
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• pp.167-180
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• 1998

We have carried out high precision orbit calculation, by using various numerical techniques with accuracy of higher than fourth order, in order for exact prediction on position and velocity of celestial bodies and artificial satellites. General second order ordinary differential equation has been solved numerically to test the performance for each of numerical methods. We have compared computed values with exact solution obtained by using universal variables for two body problem and discussed overall results of numerical methods used in our calculation. As a result, it is found that high order difference table method called as Gauss-Jackson method is best one with easiness and efficiency in the increase of accuracy by number of initial values.