• Communications of the Korean Mathematical Society
• /
• v.29 no.3
• /
• pp.489-496
• /
• 2014

We drive a closed-form expression for the price of a European quanto call option in the double square root stochastic volatility model.

• Communications of the Korean Mathematical Society
• /
• v.31 no.2
• /
• pp.415-422
• /
• 2016

We derive a closed-form expression for the price of a European quanto call option when both foreign and domestic interest rates follow the Vasicek's short rate model.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.19 no.6
• /
• pp.1075-1084
• /
• 1994

In this paper we derive a closed-form approximate expression for the bit error probability of the MPSK modulation with diversity reception in the Suzuki fading channel which is a mixture of short term and long term fading. We showed that the proposed approximate expression was capable of efficient computation compared to the existing integral-form expression, and gives an quantitative insight how much the channel parameters degrade the system performance. Further more it is shown that an appropriate transmission power control is beneficial to the system through consideration of the approximate expression.

• Proceedings of the IEEK Conference
• /
• 2008.06a
• /
• pp.213-214
• /
• 2008

In this paper, we analyze the performance of a cooperative communication wireless network over independent and identically distributed (IID) Nakagami-m fading channels. A simple transmission scheme is considered where the relay is operating in amplify-forward (AF) mode. A closed-form expression for symbol error rate (SER) is obtained using the moment generating function (MGF) of the total signal to noise ratio (SNR) of the transmitted signal with binary phase shift keying (BPSK).

• The Journal of Korean Institute of Electromagnetic Engineering and Science
• /
• v.28 no.11
• /
• pp.886-893
• /
• 2017

Recently, for detection of low-RCS targets, bistatic radar and multistatic radar have been widely employed. In this paper, we present the process of deriving the received signal modeling of the bistatic MIMO radar system and deals with the performance analysis of applying the bistatic signal to the ML arrival angle estimation algorithm. In case of the ML algorithm, as the number of the targets increases, azimuth search dimension for DOA estimation also increases, which implies that the ML algorithm for multiple targets is computationally very intensive. To solve this problem a closed-form expression of estimation error is presented for performance analysis of the algorithm.

• Bulletin of the Korean Mathematical Society
• /
• v.56 no.2
• /
• pp.351-364
• /
• 2019

We derive full closed-form expressions for the prices of European symmetric power quanto call options with four different forms of terminal payoffs under the assumption of the classical lognormal asset price and exchange rate model.

• The Journal of Korean Institute of Electromagnetic Engineering and Science
• /
• v.17 no.8 s.111
• /
• pp.788-794
• /
• 2006

In this paper, a Sommerfeld integral for an impedance half-plane is considered, which is one of classical problems in electromagnetic theory. First, the integral is evaluated into two series representations which are expressed in terms of exponential integral and Lommel function, respectively. Then based on the Lommel function expansion, an exact, closed-form expression of the integral is formulated, written in terms of incomplete Weber integrals. Additionally, based on the exponential integral expansion, an approximate expression of the integral is obtained. Validity of all formulations derived in this paper is demonstrated through comparisons with a numerical integration of the integral for various situations.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.34 no.4C
• /
• pp.469-475
• /
• 2009

Overlap is one of the techniques for increasing bit rate in chirp spread spectrum (CSS). More overlaps can offer higher data throughput; however, they may cause more intersymbol interference (ISI) at the same time, resulting in serious bit error rate (BER) performance degradation. Thus, the number of overlaps should be decided according to the required BER performance. In this paper, we derive a closed form expression for BER of the overlap-based CSS system, exploiting the approximated Gaussian Q function. The derived BER expression includes the number of overlaps as a parameter, and thus, would be very useful in determining the number of overlaps for a specified BER. The numerical results demonstrate that the BER derived in a closed form closely agrees with the simulated BER.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.33 no.11A
• /
• pp.1053-1062
• /
• 2008

This paper provides a general and compact expression for the probability density function (pdf) and the moment-generating function (MGF) of the maximal ratio combiner output over Rayleigh fading channels. It is then used to derive closed form expression bit error rate (BER) for M-PSK, M-PAM and M-QAM, respectively. A variety of simulations is performed and shows that they match exactly with analytic ones.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
• /
• 2008.10a
• /
• pp.49-52
• /
• 2008

In this letter, we derive a tight closed form formula for an ergodic rapacity of a multiple-input multiple-output (MIMO) for the application of wireless communications. The derived expression is a simple close-form formula to determine the ergodic capacity of MIMO systems. Assuming the channels are independent and identically distributed (i.i.d.) Rayleigh flat-fading between antenna pairs, the ergodic capacity can be expressed in a closed form as the finite sum of exponential integrals.