• Journal of applied mathematics & informatics
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• v.38 no.5_6
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• pp.439-461
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• 2020

A step-up option is a newly developed financial instrument that simultaneously provides higher security and profitability. This paper introduces two step-up options: step-up type1 and step-up type2 options, and derives the option pricing formulas using the Laplace transform. We assume that the underlying equity price follows a regime-switching model that reflects the long-term maturity of these options. The option prices are calculated for the two types of funds, a pure stock fund composed of risky assets only and a mixed fund composed of stocks and bonds, to reflect possible variety in the fund underlying asset mix. The impact of changes in the model parameters on the option prices is analyzed. This paper provides information crucial to product developments.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2013.10a
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• pp.261-262
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• 2013

In this paper, we subject to MA area to identifying improve the performance of equipment and prices down. When we replace the equipment, the cost savings available area, servers, storage, the As-is vs To-be of software compared to the cost. Thus, based decision-making is utilized.

• Proceedings of the Korean Society of Computer Information Conference
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• 2014.01a
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• pp.109-110
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• 2014

본 논문에선 우선 MA(Merger and Acquision) 영역을 파악하고자 한다. MA 영역은 장비의 성능향 상 및 가격 하락과 매우 영향이 깊은 영역이다. 우리는 그 영역 중에서 장비 교체 시 원가절감 효과가 가능한 영역, 서버, 스토리지, 소프트웨어의 As-is vs To-be 원가를 비교 분석한다. 그리하여 기업의 소유자 또는 경영자가 기업 및 경영상태 전반에 대한 방향을 결정하는 의사결정 근거로 활용한다.

• Communications of the Korean Mathematical Society
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• v.33 no.1
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• pp.345-360
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• 2018

In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

• East Asian Economic Review
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• v.23 no.2
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• pp.149-168
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• 2019

Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple's value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.

• Journal of the Korean Society of Industry Convergence
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• v.25 no.2_2
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• pp.315-322
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• 2022

Apartments are being established as a universal housing type because of the perception that they are excellent in preservation of asset values and convenience. In this study, through multiple regression analysis, it is a thesis that explores whether it affects the housing market in Gimhae, a small and medium-sized city in the province, and how the price flow in neighboring cities has an effect. It is possible to examine how macroeconomic variables such as the balloon effect and the lowest interest rate caused by the government's tweezers regulation bring about changes in the housing market of small and medium-sized cities in local regions.

• East Asian mathematical journal
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• v.40 no.1
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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.

• The Journal of Society for e-Business Studies
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• v.25 no.4
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• pp.61-75
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• 2020

The scope of data for understanding or predicting stock prices has been continuously widened from traditional structured format data to unstructured data. This study investigates whether commentary data collected from SNS may affect future stock prices. From "Stock Discussion Room" in Naver, we collect 20 stocks' commentary data for six months, and test whether this data have prediction power with respect to one-hour ahead price direction and price range. Deep neural network such as LSTM and CNN methods are employed to model the predictive relationship. Among the 20 stocks, we find that future price direction can be predicted with higher than the accuracy of 50% in 13 stocks. Also, the future price range can be predicted with higher than the accuracy of 50% in 16 stocks. This study validate that the investors' sentiment reflected in SNS community such as Naver's "Stock Discussion Room" may affect the demand and supply of stocks, thus driving the stock prices.

• Journal of Korean Society for Geospatial Information Science
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• v.19 no.4
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• pp.71-80
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• 2011

A simple and an improved methods for the assessment of flood damage were used in previous studies, and the Multi-Dimensional Flood Damage Assessment (MD-FDA) has been applied since 2004 in Korea. This study evaluated flood damage of dam downstream using considering MD-FDA method based on GIS data. Firstly, flood water level with FLDWAV (Flood Wave routing) model was input into cross section layer based on enforcement drainage algorithm, water depth grid data were created through spatial calculation with DEM data. The value of asset of building and agricultural land according to local government was evaluated using building layer from digital map and agricultural land map from landcover map. Also, itemized flood damage was calculated by unit price to building shape, evaluated value of housewares to urban type, unit cost to crop, tangible and inventory asset of company connected with building, agricultural land, flooding depth layer. Flood damage in rainfall frequency of 200 year showed 1.19, 1.30 and 1.96 times to flood damage in rainfall frequency of 100 year, 50 year and 10 year respectively by flood damage analysis.

• Journal of Korea Technology Innovation Society
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• v.14 no.3
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• pp.578-598
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• 2011

This study estimates the value of photovoltaic core material technology, which is getting attention as a clean energy source. The estimation is based on the real option pricing model (ROPM). This study has two main contributions. The first is in the methodology. The process of modeling volatility, which is the most complicated stage in ROPM, is greatly simplified by using the stock price as a covariate representing the volatility of the real option's basic asset. The second contribution is the application of technology. In this study, the economic value of poly-silicon, a core material in the photovoltaic industry and recently surging in demand, is evaluated as a manufacturing technology. In a case study of a company in the photovoltaic industry, the stochastic process of a basic asset follows geometric Brownian motion (GBM), and the option value of firm A's poly-silicon manufacturing technology is estimated at 3.4 trillion won.