• 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.

• Nuclear Engineering and Technology
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• 제50권7호
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• pp.1060-1067
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• 2018

A feasibility of reusing option of spent nuclear fuel in a fusion-fission hybrid system without partitioning was checked as an alternative option of pyro-processing with critical reactor system. Neutronic study was performed with MCNP 6.1 for this option, direct reuse of spent PWR fuel (DRUP). Various options with DRUP fuel were compared with the reference design concept; transmutation purpose blanket with (U-TRU)Zr fuel loading connected with pyro-processing. Performance parameters to be compared are transmutation performance of transuranic (TRU) nuclides, required fusion power and tritium breeding ratio (TBR). When blanket part is loaded only with DRUP, initial $k_{eff}$ level becomes too low to maintain a practical subcritical system, increasing the required fusion power. In this case, production rate of TRU nuclides exceeds the incineration rate. Design optimization is done for combining DRUP fuel with (U-TRU)Zr fuel. Reactivity swing is reduced to about 2447 pcm through fissile breeding compared to (U-TRU)Zr fuel option. Therefore, a required fusion power is reduced and tritium breeding performance is improved. However, transmutation performance with TRU nuclides especially $^{241}Am$ is degraded because of softening effect of spectrum. It is known that partitioning and transmutation should be accompanied with fusion-fission hybrid system for the effective transmutation of TRU.

• Management Science and Financial Engineering
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• 제21권2호
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• Nuclear Engineering and Technology
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• 제48권3호
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• pp.711-718
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• 2016

Steady-state operation of a fusion power plant requires external current drive to minimize the power requirements, and a high fraction of bootstrap current is required. One of the external sources for current drive is lower hybrid current drive, which has been widely applied in many tokamaks. Here, using lower hybrid simulation code, we calculate electron distribution function, electron currents and phase velocity changes for two options of demonstration reactor at the launched lower hybrid wave frequency 5 GHz. Two plasma scenarios pertaining to two different demonstration reactor options, known as pulsed (Option 1) and steady-state (Option 2) models, have been analyzed. We perceive that electron currents have major peaks near the edge of plasma for both options but with higher efficiency for Option 1, although we have access to wider, more peripheral regions for Option 2. Regarding the electron distribution function, major perturbations are at positive velocities for both options for flux surface 16 and at negative velocities for both options for flux surface 64.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제26권4호
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• pp.296-309
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• 2022

Timer options are one of the contingent claims that, for given the variance budget, its payoff depends on a random maturity in terms of the realized variance unlike the standard European vanilla option with a fixed time maturity. Since it was first launched by Société Générale Corporate and Investment Banking in 2007, the valuation of the timer options under several stochastic environment for the volatility has been conducted by many researches. In this study, we propose the pricing of timer power options combined with standard timer options and the index of the power to the underlying asset for the investors to actualize lower risks and higher returns at the same time under the uncertain markets. By using the asymptotic analysis, we obtain the first-order approximation of timer power options. Moreover, we demonstrate that our solution has been derived accurately by comparing it with the solution from the Monte-Carlo method. Finally, we analyze the impact of the stochastic volatility with regards to various parameters on the timer power options numerically.

• 대한수학회논문집
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• 제28권3호
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• pp.615-633
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• 2013

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

• 전기저널
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• 12호통권120호
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• pp.44-46
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• 1986

• 에너지공학
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• 제23권4호
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• pp.123-129
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• 2014

국내에서도 에너지절약성과 보증계약 방식 위주의 역량강화를 위한 측정 검증(M&V)이 중요한 과제로 부각됨에 따라 선진국과 같은 M&V 방법의 선택과 적용이 필요하다. 국내 ESCO 산업의 역량강화를 촉진하기 위해 에너지절약성과에 대한 M&V를 위해서, 적합한 M&V 선택 및 적용방안의 제시가 요청되고 있다. 본고에서는 IPMVP, 미국 및 일본 사례를 참조하여 국내의 M&V 적용목표 및 적용방향을 설정하고, 적용절차 및 유의사항을 설명한 뒤 M&V 방안(A, B, C, D)의 선택 및 검증방안을 제시하였다. 향후 연구과제로 앞에 제시된 M&V 선택 및 적용방안을 기초로 한 M&V 계획서 및 결과서 작성을 위한 가이드라인 제시방안이 마련될 필요가 있다.

• Journal of Radiation Protection and Research
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• 제45권4호
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• pp.147-153
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• 2020

Background: Malawi's 2018 National Energy Policy includes nuclear power as an energy option with an operational 100 MW targeted for 2035. Materials and Methods: This paper challenges the scope of the policy on nuclear power by reviewing its implementation strategy and comparing it to: the strategy established for coal in the same policy; some experiences from other countries; and documents by the International Atomic Energy Agency (IAEA) relating to establishing a national position on nuclear power and infrastructural requirements for a nuclear power program. Results and Discussion: It is found that the pro-nuclear position is uninformed, and targets are unrealistic owing to a lack of understanding of nature of nuclear power including the requirements for safety, security and safeguards, and nuclear infrastructure. It is apparent that neither consultation nor a proper analysis were comprehensively conducted for nuclear. Though the national energy policy suggests a national position for nuclear energy, the content does not demonstrate that the position was arrived at knowledgeably. Conclusion: Thus, nuclear power may presently be viewed as a potential energy option that is yet to be seriously considered. It is important to build an appropriate level of literacy on nuclear science and technology for policy makers, key stakeholders, and the public to be better positioned for strategizing on nuclear power.

• 한국원자력학회:학술대회논문집
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• 한국원자력학회 2002년도 춘계공동학술발표회요약집
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• pp.303-303
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• 2002