• 대한수학회보
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• 제53권5호
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• 산업경영시스템학회지
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• 제29권2호
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• pp.20-30
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• 2006

Due to recent growing interest in autonomous software agents and their potential application in areas such as electronic commerce, the autonomous negotiation become more important. Evidence from both theoretical analysis and observations of human interactions suggests that if decision makers have prior information on opponents and furthermore learn the behaviors of other agents from interaction, the overall payoff would increase. We propose a new methodology for a strategy finding process using data mining in autonomous negotiation system; ANSIA(Autonomous Negotiation System using Intelligent Agent). ANSIA is a strategy based negotiation system. The framework of ANSIA consists of three component layers; 1) search agent layer, 2) data mining agent layer and 3) negotiation agent layer. ANSIA is motivated by providing a computational framework for negotiation and by defining a strategy finding model with an autonomous negotiation process.

• International Journal of Internet, Broadcasting and Communication
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• 제13권1호
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• pp.243-248
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• 2021

Although many different types of covert channels have been suggested in the literature, there are little work in directly applying game theory to building up covert channel. This is because researchers have mainly focused on tailoring game theory for covert channel analysis, identification, and covert channel problem solving. Unlike typical adaptation of game theory to covert channel, we show that game theory can be utilized to establish a new type of covert channel in IoT devices. More specifically, we propose a covert channel that can be constructed by utilizing the Nash Equilibrium with sensor data collected from IoT devices. For covert channel construction, we set random seed to the value of sensor data and make payoff from random number created by running pseudo random number generator with the configured random seed. We generate I × J (I ≥ 2, J ≥ 2) matrix game with these generated payoffs and attempt to obtain the Nash Equilibrium. Covert channel construction method is distinctly determined in accordance with whether or not to acquire the Nash Equilibrium.

• 전기학회논문지
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• 제56권5호
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• pp.848-853
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• 2007

This paper presents a methodology of estimating incomplete information in electricity markets for analyzing the gaming behavior of Generating Companies (GENCOs). Each GENCO needs to model its opponents' unknown information of strategic biddings and cost functions. In electricity markets with complete information, each GENCO knows its rivals' payoff functions and tries to maximize its own profit at Nash equilibriurnl Nli) by acknowledging the rivals' cost function. On the other hand, in the incomplete information markets, each GENCO lacks information about its rivals. Load patterns can change continuously due to many factors such as weather, price, contingency, etc. In this paper, we propose the method of the estimation of the opponents' cost function using market price, transaction quantities. and customer load patterns. A numerical example with two GENCOs is illustrated to show the basic idea and effectiveness of the proposed methodology.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2007년도 심포지엄 논문집 정보 및 제어부문
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• pp.240-242
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• 2007

The game theoretic analysis in wireless networks can be classified into the jamming game of the physical layer, the multiple access game of the medium access layer, the forwarder's dilemma and joint packet forwarding game of the network layer, and etc. In this paper, the game theoretic analysis about the multiple access game that selfish nodes exist in the IEEE 802.11 DCF(Distributed Coordination Function) wireless networks is addressed. In this' wireless networks, the modeling of the CSMA/CA protocol based DCF, the utility or payoff function calculation of the game, the system optimization (using optimization theory or convex optimization), and selection of Pareto-optimality and Nash Equilibrium in game strategies are the important elements for analyzing how nodes are operated in the steady state of system. Finally, the main issues about the game theory in the wireless network are introduced.

• 경영과학
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• 제33권2호
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• pp.117-131
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• 2016

This study introduces the concepts on the phase-shifting phenomenon of financial markets, which was firstly used in econophysics area and explains how the phase-shifting behavior is studied in the fields of business management and finance. Specifically, we explain how the phases of financial markets are extremely changed under some external conditions, do an extensive literature review, and carry out case studies focusing on the 3 major financial crisis events including the 87 October crash, 97 Asian financial crisis, and 2007 global financial crisis. We also empirically examine the phase-shifting behavior of the Korean ELW products that has a similar payoff structure to the KOSPI200 options.

• 한국시스템다이내믹스연구
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• 제1권1호
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• pp.133-157
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• 2000

This paper deals with the social system from the point of system thinking consisting the fundamental construct of system dynamics. The Bertalanffy's general system theory, having been criticized because of its ambiguity, and the complex science theory, emerging system theory, are integrated by using the system thinking which is characterized with three concepts, 'feedback thinking', 'dynamic thinking', 'operational thinking'. In the integration, system thinking suggests the dynamic pattern of the social system have not only an equilibrium status but also complex status. The science of complexity gives an implication to system dynamics the important of the uncertainty and complexity if we interpret the social system as an open system. To show more concrete description, I simulate the cooperation model based on the iterated prisoner dilemma. The simulation results show the diverse patterns of cooperation and betrayal. Especially the sensitivity of initial payoff will cause the chaotic strategic landscapes as the game gose on. These results mean that we should not give the hasty prescription to control social system artificially. Because social system retains the self-organizing force in itself.

• 한국컴퓨터정보학회지
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• 제9권2호
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• pp.9-18
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• 2002

적합한 비즈니스 모델을 수립하고 운영하는 것은 치열한 경쟁환경 속에서 생존을 하기 위한 핵심적 절차이며, 비즈니스 모델을 통하여 기업은 이익을 창출할 수 있기 때문이다. 기업이 경쟁우위를 차지하거나 유지하는 것은 기업이 가치체계 내에서 어떻게 위치하느냐에 따라 달라지기도 하는데, 본 연구에서는 인력, 비용, 그리고 시간 둥의 제약으로 인하여 이룰 수 없었던 가치사슬의 통합과 재구축을 B2E관계, 제휴 등을 통하여 달성하고자 한다. 이에 따라, B2E모델, 제휴프로그램 등을 분석한 후 제휴 B2E 모델을 제안하고자 한다. 제안한 모델은 모 기업과 고용기업간 상호 이익이 보상되는 상호 보완적인 기능모듈을 갖는 프레임이다.

• Advances in robotics research
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• 제2권3호
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• pp.247-257
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• 2018

Various studies have been performed to coordinate robots in transporting objects and different artificial intelligence algorithms have been considered in this field. In this paper, we investigate and solve Multi-Robot Transportation problem by using a combined auction algorithm. In this algorithm each robot, as an agent, can perform the auction and allocate tasks. This agent tries to clear the auction by studying different states to increase payoff function. The algorithm presented in this paper has been applied to a multi-robot system where robots are responsible for transporting objects. Using this algorithm, robots are able to improve their actions and decisions. To show the excellence of the proposed algorithm, its performance is compared with three heuristic algorithms by statistical simulation approach.

• 경영과학
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• 제21권2호
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• pp.145-165
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• 2004

Frequently. lots of organizations have experienced the value discrepancy between the expected value and the realized value from IS (information systems) investments. Being positive or negative the difference is. however, the existence of discrepancy itself is an evidence of less-than-sound management and measurement of IS projects. Analyzing the factors that cause such discrepancy has become an issue of scrutiny both in academia and in practice. We model which factors. as predictors, will affect the value discrepancy, as dependent variables. in IS investment. This research will establish and examine the research model. the validity of category classification of value discrepancy factors and the perceptual level of IS value discrepancy by survey research. As a result of the survey research. the strategic alignment. the proper system design for staffs. the project planning capability. and interdepartmental task cooperation are perceived as the factors that significantly affect the value discrepancy. And known as IS success factors such as the managerial support, the change management, the standardized process. and the competitive investment are not significant factors. The research findings will provide and emphasize useful implications which factors should be deliberately investigated in IS investment both for practices considering IS deployment and for academia.