• The Korean Journal of Applied Statistics
• /
• v.30 no.2
• /
• pp.243-257
• /
• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Journal of the Korean Society for Precision Engineering
• /
• v.14 no.7
• /
• pp.144-153
• /
• 1997

The inverse kinematics problem of a reclaimer which excavates and transports raw materials in a raw yard is investigated. Because of the geometric feature of the equipment in which scooping buckets are attached around the rotating disk, kinematic redundancy occurs in determining joint variable. Link coordinates are introduced following the Denavit-Hartenbery representation. For a given excavation point the forward kinematics yields 3 equations, however the number of involved joint variables in the equations is four. It is shown that the rotating disk at the end of the boom provides an extra passive degree of freedom. Two approaches are investigated in obtaining inverse kinematics solutions. The first method pre-assigns the height of excavation point which can be determined through path planning. A closed form solution is obtained for the first approach. The second method exploits the orthogonality between the normal vector at the excavation point and the z axis of the end-effector coordinate system. The geometry near the reclaiming point has been approximated as a plane, and the plane equation has been obtained by the least square method considering 8 adjacent points near the point. A closed form solution is not found for the second approach, however a linear approximate solution is provided.

• Transactions of the Korean Society of Mechanical Engineers
• /
• v.14 no.2
• /
• pp.298-309
• /
• 1990

In this paper, a new method is suggested to analyze impulsive stresses at loading poing of concentrated impact load under certain impact conditions determined by impact velocity, stiffness of plate and mass of impact body, etc. The impulsive stresses are analyzed by using the three dimensional dynamic theory of elasticity so as to analytically clarify the generation phenomenon of cone crack at the impact fracture of fragile materials (to be discussed if the second paper). The Lagrange's plate theory and Hertz's law of contact theory are used for the analysis of impact load, and the approximate equation of impact load is suggested to analyze the impulsive stresses at the impact point to decide the ranage of impact load factor. When impact load factors are over and under 0.263, approximate equations are suggested to be F(t)=Aexp(-Bt)sinCt and F(t)=Aexp(-bt) {1-exp(Ct)} respectively. Also, the inverse Laplace transformation is done by using the F.F.T.(fast fourier transform) algorithm. And in order to clarity the validity of stress analysis method, experiments on strain fluctuation at impact point are performed on a supported square glass plate. Finally, these analytical results are shown to be in close agreement with experimental results.

• Journal of Institute of Control, Robotics and Systems
• /
• v.14 no.10
• /
• pp.977-982
• /
• 2008

In this paper Haar functions are developed to approximate the solutions of continuous time linear system. Properties of Haar functions are first presented, and an explicit expression for the inverse of the Haar operational matrix is presented. Using the inverse of the Haar operational matrix the full order Stein equation should be solved in terms of the solutions of pure algebraic matrix equations, which reduces the computation time remarkably. Finally a numerical example is illustrated to demonstrate the validity of the proposed algorithm.

• Journal of applied mathematics & informatics
• /
• v.28 no.1_2
• /
• pp.351-361
• /
• 2010

The solution of large sparse linear systems is one of the most important problems in large scale scientific computing. Among the many methods developed, the preconditioned Krylov subspace methods are considered the preferred methods. Selecting a suitable preconditioner with appropriate parameters for a specific sparse linear system presents a challenging task for many application scientists and engineers who have little knowledge of preconditioned iterative methods. The prediction of ILU type preconditioners was considered in [27] where support vector machine(SVM), as a data mining technique, is used to classify large sparse linear systems and predict best preconditioners. In this paper, we apply the data mining approach to the sparse approximate inverse(SAI) type preconditioners to find some parameters with which the preconditioned Krylov subspace method on the linear systems shows best performance.

• 제어로봇시스템학회:학술대회논문집
• /
• 2001.10a
• /
• pp.33.1-33
• /
• 2001

We address a novel approach to identify a nonlinear dynamic system for Wiener models, which are composed of a linear dynamic system part followed by a nonlinear static part. The aim of system identification here is to provide the optimal mathematical model of both the linear dynamic and the nonlinear static parts in some appropriate sense. Assuming the nonlinear static part is invertible, we approximate the inverse function by a piecewise linear function. We estimate the piecewise linear inverse function by using the evolutionary computation approach such as genetic algorithm (GA) and evolution strategies (ES), while we estimate the linear dynamic system part by the least squares method. The results of numerical simulation studies indicate the usefulness of proposed approach to the Wiener model identification.

• Communications of Mathematical Education
• /
• v.23 no.4
• /
• pp.1079-1092
• /
• 2009

The purpose of this study is to investigate Newton's binomial theorem that was on epistemological basis of the emergent background and developmental course of infinite series and power series. Through this investigation, it will be examined how finding the approximate of square root of given numbers, the method of the inverse method of fluxions by Newton, and Gregory and Mercator series were developed in the course of history of mathematics. As the result of this study pedagogical analysis and discussion of the history of mathematics on Newton's binomial theorem will be presented.

• Bulletin of the Korean Chemical Society
• /
• v.17 no.2
• /
• pp.188-192
• /
• 1996

It is shown that the inversion of the undamped Bloch equation for an amplitude-modulated broadband π/2 pulse can be precisely treated as an inverse scattering problem for a Schrodinger equation on the positive semiaxis. The pulse envelope is closely related to the central potential and asymptotically the wave function takes the form of a regular solution of the radial Schrodinger equation for s-wave scattering. An integral equation, which allows the calculation of the pulse amplitude (the potential) from the phase shift of the asymptotic solution, is derived. An exact analytical inversion of the integral equation shows that the detuning-independent π/2 pulse amplitude is given by a delta function. The equation also provides a means to calculate numerically approximate π/2 pulses for broadband excitation.

• Bulletin of the Korean Mathematical Society
• /
• v.33 no.4
• /
• pp.603-611
• /
• 1996

Let consider the following problem: find an element u(t) in a Banach space U from the equation $$ x'(t) = Ax(t) + f(t,x(t)) + \Phi_0 u(t), 0 \leq t \leq T $$ with initial and terminal conditions $$ x(0) = 0, x(T) = \phi $$ in a Banach space X where $\phi \in D(A)$. This problem is a kind of control engineering inverse problem and contains nonlinear term, so that it is difficult and interesting. Thee proof main result in this paper is based on the Fredholm property of [1] in section 3. Similar considerations of linear system have been dealt with in many references. Among these literatures, Suzuki[5] introduced this problem for heat equation with unknown spatially-varing conductivity. Nakagiri and Yamamoto[2] considered the identifiability problem, which A is a unknown operator to be identified, where the system is described by a linear retarded functional differential equation. We can also apply to determining the magnitude of the control set for approximate controllability if X is a reflexive space, i.e., we can consider whether a dense subset of X is covered by reachable set in section 4.

• Communications for Statistical Applications and Methods
• /
• v.22 no.6
• /
• pp.557-573
• /
• 2015

In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.