• Proceedings of the Korean Society of Computational and Applied Mathematics Conference
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• 2003.09a
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• pp.10-10
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• 2003

Option pricing theory developed by Black and Sholes depends on an arbitrage opportunity argument. An investor can exactly replicate the returns to any option on that stock by continuously adjusting a portfolio consisting of a stock and a riskless bond. The value of the option equal the value of the replicating portfolio. However, transactions costs invalidate the Black-Sholes arbitrage argument for option pricing, since continuous revision implies infinite trading, Discrete revision using Black-Sholes deltas generates errors which are correlated with the market, and do not approach zero with more frequent revision when transactions costs are included. Stochastic calculus serves as a fundamental tool in the mathematical finance. We closely look at the utility maximization theory which is one of the main option valuation methods. We also see that how the stochastic optimal control problems and their solution methods are applied to the theory.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.4
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• pp.249-273
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• 2010

Often in practice, the implied volatility of an option is calculated to find the option price tomorrow or the prices of, nearby' options. To show that one does not need to adhere to the Black- Scholes formula in this scheme, Figlewski has provided a new pricing formula and has shown that his, alternating passive model' performs as well as the Black-Scholes formula [8]. The Figlewski model was modified by Henderson et al. so that the formula would have no static arbitrage [10]. In this paper, we show how to construct a huge class of such static no arbitrage pricing functions, making use of distortions, coherent risk measures and the pricing theory in incomplete markets by Carr et al. [4]. Through this construction, we provide a more elaborate static no arbitrage pricing formula than Black-Sholes in the above scheme. Moreover, using our pricing formula, we find a volatility curve which fits with striking accuracy the synthetic data used by Henderson et al. [10].

• Proceedings of the Korea Technology Innovation Society Conference
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• 2000.11a
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• pp.297-311
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• 2000

Since 1996 when Kosdaq market was set up, serious doubt has been raised regarding the efficiency of the market. The most important question is whether this market can reflect the real value of the venture company quoted on it. In order to answer this question, this study aimed to evaluate venture companies in Kosdaq market adopting the concept of real option theory. From the results of empirical analysis, we found that in the early 2000, there was serious over-valuation problem. On the contrary, in the recent period of economic recession, under-valuation problem is quite prevalent. We also present our methodology and empirical results confirm the conjecture that option premium outweighs the DCF valor for the newly born and high-technology intensive venture companies. We hope that the empirical results shed some light on the policy prescription to improve the efficiency of Kosdaq market.

• Journal of Technology Innovation
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• v.14 no.3
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• pp.237-261
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• 2006

Under circumstances with increasing uncertainty, strategic flexibility has become an essential point on which my R&D management system should be based. Unfortunately the present R&D management system for government sponsored R&D programs cannot be said to be so flexible to adapt appropriately to various threatens such as technological failure, a severe change in competition environment, and so on. In this paper a new scheme for R&D planning and economic assessment with strategic flexibility is suggested and applied to a real R&D program. In the newly suggested R&D management system, economic valuation based on real option theory is performed for various alternative scenarios which have different strategic scheme for R&D process each and the result of the assessment is fed back to R&D planning to choose more superior strategic scheme. Introducing strategic flexibility into R&D planning and economic assessment, the value of R&D project could be remarkably enhanced.

• Journal of Forest and Environmental Science
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• v.19 no.1
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• pp.108-123
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• 2003

The importance of environmental resources has been recognized over the world after Rio declaration(1992). so it is moved to monetarize environmental resources. The studies on the evaluation of nonmarket goods began also in the early 1990 in Korea. In practice the preliminary feasibility studies(PFS) are carried out since 1999 in case of major public investments projects. In PFS the Benefit-Cost analysis is practically used. which is considering the evaluation of environmental resources. But the methods for the evaluation have not been fixed up. In this study It is introduced to the theory and major methods for the evaluation of environmental resources. In the theory the evaluation is handled in aspect of demand function and supply function. The optimum level can be extracted from the two functions. In the method. travel cost method(TCM), hedonic price method(HPM) and contingent valuation method(CVM) are introduced according to the market structures.

• Journal for History of Mathematics
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• v.27 no.3
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• pp.183-195
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• 2014

In mathematics a prime number is the natural number that has no positive factors other than 1 and itself. As natural numbers greater than 1 can be factored characterized by prime numbers, identities of a culture could be understood if its cultural phenomena are analyzed through cultural prime numbers(CPN). It is not easy to resolve cultural phenomena into CPN and analyze them through CPN due to complexities of culture. Though it is difficult, however, it is not impossible. For CPN keeps relative independence in the context of history and thought. We call 2, 3 and 5 as CPN: 2 is representative of Yin and Yang theory, 3 of Three Principles theory, and 5 of Five Elements theory. We argue that the Ten Celestial Stems and the Twelve Earthly Branches, the core principles in the oriental tradition, could be factored by the CPN. Analyzing Sil-Hah Woo's arguments, we discuss that the CNP 3 achieved more qualitative valuation than the others in Korean culture.

• The Journal of the Korea Contents Association
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• v.17 no.10
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• pp.231-240
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• 2017

Although the value of technology is evaluated by various methods, the result of technology valuation is different from evaluator and evaluation methods. Also the uncertainty on the result occurs with respect to the evaluation factors and evaluation model which should be considered. In the case of lack of data or comparison target, the credibility of the technology valuation result could be unsure. To decrease uncertainty of the technology valuation, Fuzzy concept and Fuzzy Comprehensive Evaluation method are applied instead of using existing methods which evaluate technology value(level) by the number. In the research, we firstly devide evaluation criteria into technology value factor and business value factor and evaluate the technology level for micro pressure wave reduction technology which has been developed in Korea. Technology value factor is marked as high level with 46%, and business value factor is very high with 44%, and the overall level of technology is evaluated between very high and high. It helps to compare to other technology in the rivalry by the factors as it can evaluate the value of technology by factors. The technology valuation method which is applied in this research is expected to use on analyzing technology level of new technology or alternative technology in many different field.

• Journal of applied mathematics & informatics
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• v.13 no.1_2
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• pp.29-36
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• 2003

In 1970 Monsky proved that a square cannot be cut into an odd number of triangles of equal areas. In 1990 it was proved that the statement is true for any centrally symmetric polygon. In the present paper we consider dissections of general polygons into triangles of equal areas.

• Proceedings of the Korea Technology Innovation Society Conference
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• 2000.11a
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• pp.125-140
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• 2000

In this paper, we suggest energy technologies for a plan of future energy technology innovation. In order to evaluate and analyze of the technologies, we consider various methods such as AHP(Analytic Hierarchy Process), CVM (Contingent Valuation Method) and MAUT(Multi-Attribute Utility Theory). According to MAUT, we present between many attributes and priorities of innovation technologies.

• Journal of the Korean Institute of Navigation
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• v.12 no.3
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• pp.23-37
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• 1988

This paper deals with the method of determining the drag of hull surface which has any quality of roughness. The method consists mainly of the theoretical point of view, then the theory enables the drag coefficient to be calculated at full scale. The hydrodynamical roughness function of hull surface ${\triangle}U_+$, affected by the hull roughness are considered as to two cases, smooth surface and rough surface case separately. The inadequacy of a single parameter to define hull roughness is discussed and thus an as additional texture parameter is proposed.