• Proceedings of the Korean Statistical Society Conference
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• 2005.11a
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• pp.153-158
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• 2005

A floating-strike lookback call option gives the holder the right to buy at the lowest price of the underlying asset. Similarly, a floating-strike lookback put option gives the holder the right to sell at the highest price. This paper will derive explicit pricing formulas for these floating-strike lookback options with flexible monitoring periods. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity.

• The Korean Journal of Applied Statistics
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• v.22 no.1
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• pp.59-73
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• 2009

A floating-strike lookback call option gives the holder the right to buy at the lowest price of the underlying asset. Similarly, a floating-strike lookback put option gives the holder the right to sell at the highest price. This paper will propose an outside floating-strike lookback call (or put) option that gives the holder the right to buy (or sell) one underlying asset at some percentage of the lowest (or highest) price of the other underlying asset. In addition, this paper will derive explicit pricing formulas for these outside floating-strike lookback options. Sections 3 and 4 assume that the underlying assets pay no dividends. In contrast, Section 5 will derive explicit pricing formulas for these options when their underlying assets pay dividends continuously at a rate proportional to their prices. Some numerical examples will be discussed.

• The Korean Journal of Applied Statistics
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• v.21 no.3
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• pp.485-495
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• 2008

A floating-strike lookback call option gives the holder the right to buy at the lowest price of the underlying asset. Similarly, a floating-strike lookback put option gives the holder the right to sell at the highest price. This paper will present explicit pricing formulas for these floating-strike lookback options with flexible monitoring periods. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. Sections 3 and 4 assume that the underlying assets pay no dividends. In contrast, Section 5 will derive explicit pricing formulas for these options when their underlying asset pays dividends continuously at a rate proportional to its price.

• Communications for Statistical Applications and Methods
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• v.19 no.6
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• pp.819-835
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• 2012

A floating-strike lookback call (or put) option gives the holder the right to buy (or sell) at some percentage of the lowest (or highest) price of the underlying asset. This paper will propose an outside lookback call (or put) option that gives the holder the right to buy (or sell) one underlying asset at its guaranteed floating-strike price that is some percentage times the smaller (or the greater) of a specific guaranteed amount and the lowest (or highest) price of the other underlying asset. In addition, this paper derives explicit pricing formulas for these outside lookback options. Section 3 and Section 4 assume that the underlying assets pay no dividends. In contrast, Section 5 derives explicit pricing formulas for these options when their underlying assets pay dividends continuously at a rate proportional to their prices. Some numerical examples are also discussed.

• Geophysics and Geophysical Exploration
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• v.8 no.1
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• pp.50-58
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• 2005

Recently, the imaging of geological structures beneath water-covered areas has been in great demand because of numerous tunnel and bridge construction projects on river or lake sites. An electrical resistivity survey can be effective in such a situation because it provides a subsurface image of faults or weak zones beneath the water layer. Even though conventional resistivity surveys in water-covered areas, in which electrodes are installed on the water bottom, do give high-resolution subsurface images, much time and effort is required to install electrodes. Therefore, an easier and more convenient method is sought to find the strike direction of the main zones of weakness, especially for reconnaissance surveys. In this paper, we investigate the applicability of the streamer resistivity survey method, which uses electrodes in a streamer cable towed by ship or boat, for delineating a fault zone. We do this through numerical experiments with models of water-covered areas. We demonstrate that the fault zone can be imaged, not only by installing electrodes on the water bottom, but also by using floating electrodes, when the depth of water is less than twice the electrode spacing. In addition, we compare the signal-to-noise ratio and resolving power of four kinds of electrode arrays that can be adapted to the streamer resistivity method. Following this numerical study, we carried out both conventional and streamer resistivity surveys for the planned tunnel construction site located at the Han River in Seoul, Korea. To obtain high-resolution resistivity images we used the conventional method, and installed electrodes on the water bottom along the planned route of the tunnel beneath the river. Applying a two-dimensional inversion scheme to the measured data, we found three distinctive low-resistivity anomalies, which we interpreted as associated with fault zones. To determine the strike direction of these three fault zones, we used the quick and convenient streamer resistivity.