• Communications of the Korean Mathematical Society
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• v.13 no.2
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• pp.367-375
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• 1998

In this paper, we present the close solution for minimal hedging portofolis $II^*$ when payment f for American option admits the integral option.

• Journal of the Korean Operations Research and Management Science Society
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• v.29 no.2
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• pp.45-57
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• 2004

The purpose of this paper is studying the valuation of option prices in Incomplete markets. A market is said to be incomplete if the given traded assets are insufficient to hedge a contingent claim. This situation occurs, for example, when the underlying stock process follows jump-diffusion processes. Due to the jump part, it is impossible to construct a hedging portfolio with stocks and riskless assets. Contrary to the case of a complete market in which only one equivalent martingale measure exists, there are infinite numbers of equivalent martingale measures in an incomplete market. Our research here is focusing on risk minimizing hedging strategy and its associated minimal martingale measure under the jump-diffusion processes. Based on this risk minimizing hedging strategy, we characterize the dynamics of a risky asset and derive the valuation formula for an option price. The main contribution of this paper is to obtain an analytical formula for a European option price under the jump-diffusion processes using the minimal martingale measure.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.135-150
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• 2013

This study proposes a novel option strategy by using characteristic of volatility reversion and rough set algorithm in options market. Until now, various research has been conducted on stock and future markets, but minimal research has been done in options market. Particularly, research on the option trading strategy using high frequency data is limited. This study consists of two purposes. The first is to enjoy a profit using volatility reversion model when volatility gap is occurred. The second is to pursue a more stable profit by filtering inaccurate entry point through rough set algorithm. Since options market is affected by various elements like underlying assets, volatility and interest rate, the point of this study is to hedge elements except volatility and enjoy the profit following the volatility gap.

• Journal of the Korean Institute of Landscape Architecture
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• v.46 no.6
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• pp.60-74
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• 2018

This study was to investigate the pedestrian's thermal environments in the North Sidewalk of E-W Street during summer heatwave. We carried out detailed measurements with four human-biometeorological stations on Dongjin Street, Jinju, Korea ($N35^{\circ}10.73{\sim}10.75^{\prime}$, $E128^{\circ}55.90{\sim}58.00^{\prime}$, elevation: 50m). Two of the stations stood under one row street tree and hedge(One-Tree), two row street tree and hedge (Two-Tree), one of the stations stood under shelter and awning(Shelter), while the other in the sun (Sunlit). The measurement spots were instrumented with microclimate monitoring stations to continuously measure microclimate, radiation from the six cardinal directions at the height of 1.1m so as to calculate the Universal Thermal Climate Index (UTCI) from 24th July to 21th August 2018. The radiant temperature of sidewalk's elements were measured by the reflective sphere and thermal camera at 29th July 2018. The analysis results of 9 day's 1 minute term human-biometeorological data absorbed by a man in standing position from 10am to 4pm, and 1 day's radiant temperature of sidewalk elements from 1:16pm to 1:35pm, showed the following. The shading of street tree and shelter were mitigated heat stress by the lowered UTCI at mid and late summer's daytime, One-Tree and Two-Tree lowered respectively 0.4~0.5 level, 0.5~0.8 level of the heat stress, Shelter lowered respectively 0.3~1.0 level of the heat stress compared with those in the Sunlit. But the thermal environments in the One-Tree, Two-Tree and Shelter during the heat wave supposed to user "very strong heat stress" while those in the Sunlit supposed to user "very strong heat stres" and "exterme heat stress". The main heat load temperature compared with body temperature ($37^{\circ}C$) were respectively $7.4^{\circ}C{\sim}21.4^{\circ}C$ (pavement), $14.7^{\circ}C{\sim}15.8^{\circ}C$ (road), $12.7^{\circ}C$ (shelter canopy), $7.0^{\circ}C$ (street funiture), $3.5^{\circ}C{\sim}6.4^{\circ}C$ (building facade). The main heat load percentage were respectively 34.9%~81.0% (pavement), 9.6%~25.2% (road), 24.8% (shelter canopy), 14.1%~15.4% (building facade), 5.7% (street facility). Reducing the radiant temperature of the pavement, road, building surfaces by shading is the most effective means to achieve outdoor thermal comfort for pedestrians in sidewalk. Therefore, increasing the projected canopy area and LAI of street tree through the minimal training and pruning, building dense roadside hedge are essential for pedestrians thermal comfort. In addition, thermal liner, high reflective materials, greening etc. should be introduced for reducing the surface temperature of shelter and awning canopy. Also, retro-reflective materials of building facade should be introduced for the control of reflective sun radiation. More aggressively pavement watering should be introduced for reducing the surface temperature of sidewalk's pavement.