• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.249-253
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• 2012

This paper suggests a numerical method for valuation of American options under the Kou model (double exponential jump diffusion model). The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the conventional numerical method, the finite difference method for PIDE (partial integro-differential equation).

• Journal of computational fluids engineering
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• v.1 no.1
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• pp.9-18
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• 1996

This study examines effect of various interpolations of interior control function for analytic methods such as Thomas-Middlecoff and Sorenson methods. Laplace interpolation is developed and compared among linear interpolation and exponential interpolation systematically.

• 한국전산유체공학회:학술대회논문집
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• 1995.10a
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• pp.104-109
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• 1995

This study examines effect of various interpolations of interior control function for analytic methods such as Thomas-Middlecoff and Sorenson methods. Laplace interpolation is developed and compared among linear interpolation and exponential interpolation systematically.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.20 no.6
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• pp.779-787
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• 2007

This paper presents a highly efficient moving least squares finite difference method (MLS FDM) for a heat transfer problem of bi-material with interfacial boundary. The MLS FDM directly discretizes governing differential equations based on a node set without a grid structure. In the method, difference equations are constructed by the Taylor polynomial expanded by moving least squares method. The wedge function is designed on the concept of hyperplane function and is embedded in the derivative approximation formula on the moving least squares sense. Thus interfacial singular behavior like normal derivative jump is naturally modeled and the merit of MLS FDM in fast derivative computation is assured. Numerical experiments for heat transfer problem of bi-material with different heat conductivities show that the developed method achieves high efficiency as well as good accuracy in interface problems.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.2 no.2
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• pp.97-109
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• 1998

A comparison of the two dimensional heat loss, computed using the analytical method and the finite difference method in two models(i.e. one is a parabolic fin whose parabolic curves meet at the fin center line and the other is a transformed parabolic fin whose tip cuts vertically), is made assuming the analytical method is correct. For these methods, the root temperature and surrounding convection coefficients of these fins are assumed as constants. The results show that the relative errors of the heat loss between the two methods for the parabolic fin whose tip cuts vertically are smaller than those for the one whose tip does not cut. In case of Bi=0.01, the values of the heat loss obtained using a finite difference method are close to those values obtained using the analytical method for both models. The values of the heat loss from both models calculated by using the analytical method are almost the same for given range of non-dimensional fin length in case of Bi = 0.01 and 0.1.

• Transactions of the Korean Society of Mechanical Engineers
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• v.18 no.8
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• pp.1997-2004
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• 1994

A model analysis method has been developed in the paper. The method estimates the modal parameters of multiple input-output systems, assesses their quality, and seperates structural modes form computation ones. The modal parameter extraction algorithm is the least squares method with a finite difference model relating input and output time data. The quality of the estimated system model can be assessed in narrow frequency bands by comparing the measured and model predicted responses in time domain with the aid of digital filters. Structural modes can be effectively separated from computational ones using the convergence factor which represents the pole convergence rate. The modal analysis method has been applied to simulated and experimental vibration data to evaluate its utility and limitations.

• Journal of computational fluids engineering
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• v.1 no.1
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• pp.142-149
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• 1996

이차원 노즐을 통하여 저밀도 환경으로 팽창하는 희박류의 분석에 있어서 불연속좌표법과 결합된 유한차분법(finite-difference method coupled with the discrete-ordinate method, FDDO)과 직접모사법(direct-simulation Monte-Carlo method, DSMC)이 비교되었다. FDDO를 이용한 분석에서는 충돌적분모델을 도입하여 간단해진 볼츠만식(Boltzmann equation)이 불연속좌표법을 이용하여 물리적 공간에서는 연속이나 분자속도 공간에서는 불연속좌표로 표시되는 편미분방정식군으로 변환되어 유한차분법에의하여 수치해석 되었다. 직접모사법에서는 분자모델로 가변강구모델(variable hard sphere model, VHS)이, 충돌샘플링모델로는 비시계수법(no time counter method, NTC)이 채택되었다. 전혀 다른 두 가지 방법에 의한 노즐 내부에서의 유체흐름 해석결과는 매우 잘 일치하였으며, 노즐 외부의 plume 영역에서는 FDDO에 의한 해석결과가 직접모사법에 의한 해석결과에 비하여 약간 느린 팽창을 보였다.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 1995.10a
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• pp.227-232
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• 1995

This paper presents a digital modeling technique for the distributed parameter system. The basic idea of the proposed technique is to discretize a continuous system with respect to the spatial coordinate using the approximate methods such as bilinear method and backward difference method. The response of the discretized system is analyzed by Laplace transform and Z transform. The computational result of the proposed technique in a torsional shaft is compared with the exact solution and the result of the finite element method.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.24 no.7 s.178
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• pp.1847-1853
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• 2000

A computer simulation technique for 2-dimensional laser generated ultrasonic waves was developed for visualization and investigation of ultrasonic propagation in solids. The technique is similar to a finite difference method (FDM) and a mass-particle model method, but uses a new nodal calculation method based on fundamental consideration of an elastic wave equation. By this method, the propagation behavior oflaser generated ultrasonic wave in thermoelastic and ablation mode is visualized and shows good agreement with previous experimental result or the numerical analysis result by Green function.

• Proceedings of the Korean Nuclear Society Conference
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• 1996.05a
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• pp.131-136
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• 1996

An analytic nodal expansion method has been derived for the multigroup neutron diffusion equation in 2-D cylindrical(R-Z) coordinate. In this method we used the second order Legendre polynomials for source, and transverse leakage, and then the diffusion eqaution was solved analytically. This formalism has been applied to 2-D LWR model. $textsc{k}$$_{eff}$, power distribution, and computing time have been compared with those of ADEP code(finite difference method). The benchmark showed that the analytic nodal expansion method in R-Z coordinate has good accuracy and quite faster than the finite difference method. This is another merit of using R-Z coordinate in that the transverse integration over surfaces is better than the linear integration over length. This makes the discontinuity factor useless.s.