• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.15 no.2
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• pp.83-96
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• 2011

This work proposes a binomial method for pricing the cliquet options, which provide a guaranteed minimum annual return. The proposed binomial tree algorithm simplifies the standard binomial approach, which is problematic for cliquet options in the computational point of view, or other recent methods, which may be of intricate algorithm or require pre- or post-processing computations. Our method is simple, efficient and reliable in a Black-Scholes framework with constant interest rates and volatilities.

• Journal of applied mathematics & informatics
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• v.33 no.5_6
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• pp.517-530
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• 2015

In this paper, we establish a class of strong limit theorems, represented by inequalities, for the arbitrary random field with respect to the product binomial distributions indexed by the infinite tree on the generalized random selection system by constructing the consistent distri-bution and a nonnegative martingale with pure analytical methods. As corollaries, some limit properties for the Markov chain field with respect to the binomial distributions indexed by the infinite tree on the generalized random selection system are studied.

• KIPS Transactions on Computer and Communication Systems
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• v.4 no.2
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• pp.37-40
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• 2015

In this paper, we present linear, varied and mixed edge labeling methods using 2-edge labeling on binomial trees. As a result of this paper, we can design the variable topologies to enable optimal broadcasting with binomial tree as spanning tree, if we use these edge labels as the jump sequence of a sort of interconnection networks, circulant graph, with maximum connectivity and high reliability.

• East Asian mathematical journal
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• v.38 no.3
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• pp.277-292
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• 2022

This study investigates the convergence of the optimal consumption and investment policies in a binomial-tree model to those in the continuous-time model of Merton (1969). We provide the convergence in explicit form and show that the convergence rate is of order ∆t, which is the length of time between consecutive time points. We also show by numerical solutions with realistic parameter values that the optimal policies in the binomial-tree model do not differ significantly from those in the continuous-time model for long-term portfolio management with a horizon over 30 years if rebalancing is done every 6 months.

• Journal of the Institute of Electronics Engineers of Korea CI
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• v.42 no.1
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• pp.27-34
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• 2005

In this paper, we propose the Q-edge labeling method related to the graph embedding problem in binomial trees. This result is able to design a new reliable interconnection networks with maximum connectivity using Q-edge labels as jump sequence of circulant graph. The circulant graph is a generalization of Harary graph which is a solution of the optimal problem to design a maximum connectivity graph consists of n vertices End e edgies. And this topology has optimal broadcasting because of having binomial trees as spanning tree.

• Proceedings of the IEEK Conference
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• 1998.10a
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• pp.479-482
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• 1998

Whether a given tree is a subgraph of the interconnection network topology is one of the important problem in parallel computing. Trees are used as the underlying structure for divide and conquer algorithms and provide the solution spaces for NP-complete problems. Complete binary trees are the basic structure among those trees. Binomial trees play an important role in broadcasting messages in parallel networks. If binomial trees can be efficiently embedded in complex binary trees, broadcasting algorithms can be effeciently performed on the interconnection networks. In this paper, we present average dilation 2 embedding of binomial trees in complete binary trees.

• Proceedings of the IEEK Conference
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• 2004.06a
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• pp.167-170
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• 2004

We present a novel graph labeling problem called S-edge labeling. The constraint in this labeling is placed on the allowable edge label which is the difference between the labels of endvertices of an edge. Each edge label should be ${ a_n / a_n = 4 a_{n-l}+l,\;a_{n-1}=0}$. We show that every binomial tree is possible S-edge labeling by giving labeling schems to them. The labelings on the binomial trees are applied to their embedings into interconnection networks.

• Industrial Engineering and Management Systems
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• v.10 no.2
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• pp.170-177
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• 2011

We present an improved binomial method for pricing financial deriva-tives by using cell averages. After non-overlapping cells are introduced around each node in the binomial tree, the proposed method calculates cell averages of payoffs at expiry and then performs the backward valuation process. The price of the derivative and its hedging parameters such as Greeks on the valuation date are then computed using the compact scheme and Richardson extrapolation. The simulation results for European and American barrier options show that the pro-posed method gives much more accurate price and Greeks than other recent lattice methods with less computational effort.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.12
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• pp.226-231
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• 2016

Binomial trees are used to price barrier options. Since barrier options are path dependent, option values of each node are calculated from binomial trees using backward induction. We use generalized Catalan numbers to determine the number of cases not reaching a barrier. We will generalize Catalan numbers by imposing upper and lower bounds. Reaching a barrier in binomial trees is determined by the difference between the number of up states and down states. If we count the cases that the differences between the up states and down states remain in a specific range, the probability of not reaching a barrier is obtained at a final node of the tree. With probabilities and option values at the final nodes of the tree, option prices are computable by discounting the expected option value at expiry. Without calculating option values in the middle nodes of binomial trees, option prices are computable only with final option values. We can obtain a probability distribution of exercising an option at expiry. Generalized Catalan numbers are expected to be applicable in many other areas.

• The KIPS Transactions:PartA
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• v.9A no.3
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• pp.341-350
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• 2002

As network environments have been improved and the use of internet has been increased, mobile agent technologies are widely used in the fields of information retrieval, network management, electronic commerce, and parallel/distributed processing. Recently, a lot of researchers have studied the concepts of parallel/distributed processing based on mobile agents. SPMD is the parallel processing method which transmits a program to all the computers participated in parallel environment, and performs a work with different data. Therefore, to transmit fast a program to all the computers is one of important factors to reduce total execution time. In this paper, we consider the parallel environment consisting of mobile agents system, and propose a new method which transmits fast a mobile agent code to all the computers using binomial trees in order to efficiently perform the SPMD parallel processing. The proposed method is compared with another ones through experimental evaluation on the IBM's Aglets, and gets greatly better performance. Also this paper deals with fault tolerances which can be occurred in transmitting a mobile agent using binomial trees.