• 대한수학회지
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• 제41권3호
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• pp.513-533
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• 2004

We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function-gamma of the options- is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland 〔11〕 and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. 〔10〕, Avellaneda and Paras 〔1〕. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller's and buyer's position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제15권4호
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• pp.1426-1447
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• 2021

The payoff game between task publishers and users in the mobile crowdsensing environment is a hot topic of research. A optimal payoff selection model based on stochastic evolutionary game is proposed. Firstly, the process of payoff optimization selection is modeled as a task publisher-user stochastic evolutionary game model. Secondly, the low-quality data is identified by the data quality evaluation algorithm, which improves the fitness of perceptual task matching target users, so that task publishers and users can obtain the optimal payoff at the current moment. Finally, by solving the stability strategy and analyzing the stability of the model, the optimal payoff strategy is obtained under different intensity of random interference and different initial state. The simulation results show that, in the aspect of data quality evaluation, compared with BP detection method and SVM detection method, the accuracy of anomaly data detection of the proposed model is improved by 8.1% and 0.5% respectively, and the accuracy of data classification is improved by 59.2% and 32.2% respectively. In the aspect of the optimal payoff strategy selection, it is verified that the proposed model can reasonably select the payoff strategy.

• 한국경영과학회지
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• 제6권1호
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• pp.71-74
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• 1981

The purpose is to discuss the relationship between zero-sum two-person game with vector-payoff and multiple objective linear program. Further this paper shows that game against nature with vector payoff can be reduced to linear program.

• 한국게임학회 논문지
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• 제11권2호
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• pp.13-18
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• 2011

시드마이어에 의하면 게임은 일련의 흥미로운 선택들이라고 하였다. 이는 흥미로운 선택들이 게임을 재미있게 만드는 주요 요인이란 의미이다. 본 논문에서는 게임에서 존재하는 흥미롭지 않는 선택대안을 게임플레이의 전략적 오류라 정의하고 이들 오류를 검출하는 방법을 제안하였다. 제안하는 방법은 게임이론에서 게임을 표현할 때 사용하는 보수행렬들을 검사하여, 게임플레이의 전략적 오류를 검출하는 방법이다. 이 방법은, 게임의 보수행렬들만 검사하는 경우에는, 적절한 대응전략이 없는 선택, 절대 우위 선택, 절대 열등 선택, 그리고 비슷한 보상이 이루어지는 선택들의 오류들을 검출할 수 있다. 그리고 게임의 보수행렬들과 대응하는 사용빈도율들을 함께 사용하는 경우에는, 추가적으로, 기대 보수가 매우 낮은 선택, 기대 보수가 매우 높은 선택, 사용확률이 매우 낮은 선택 그리고 사용확률이 매우 높은 선택들의 오류들을 검출할 수 있다.

• 대한수학회논문집
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• 제30권3호
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• pp.297-311
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• 2015

We present a robust and accurate boundary condition for pricing financial options that is a hybrid combination of the payoff-consistent extrapolation and the Dirichlet boundary conditions. The payoff-consistent extrapolation is an extrapolation which is based on the payoff profile. We apply the new hybrid boundary condition to the multi-dimensional Black-Scholes equations with a high correlation. Correlation terms in mixed derivatives make it more difficult to get stable numerical solutions. However, the proposed new boundary treatments guarantee the stability of the numerical solution with high correlation. To verify the excellence of the new boundary condition, we have several numerical tests such as higher dimensional problem and exotic option with nonlinear payoff. The numerical results demonstrate the robustness and accuracy of the proposed numerical scheme.

• 지식경영연구
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• 제13권3호
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• pp.37-54
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• 2012

The purpose of this study is to investigate determinants of partner opportunism in Korean discount store distribution channels. In addition, this study also try to examine moderating role of relational learning in the relationship. This study deals with transaction specific investment asymmetry, mutual hostages, payoff inequity, cultural diversity, and goal incompatibilities as determinants of partner opportunism. For empirical testing, 293 respondents of suppliers of discount store in Korea were surveyed and the analysis utilizing partial least square model indicated that TSI asymmetry, payoff inequity, and goal incompatibilities had positive effects on partner opportunism. On the other hand, mutual hostages had negative effect on partner opportunism. In addition, relational learning had moderating effect on the relationship between TSI asymmetry, mutual hostages, and payoff inequity and partner opportunism.

• 전기학회논문지
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• 제56권7호
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• pp.1199-1204
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• 2007

In a cost based pool market, the generation capacity can be used as strategic bids by generation companies (Gencos) with the cost functions open to the market. Competition using strategic capacities is modeled by Cournot and Perfect Competiton (PC) model, and transformed into two by two payoff matrix game with Gencos' decision variables of Cournot and PC model. The payoff matrices vary when capacity payments are given to Gencos in accordance with their capacity bids. Nash Equilibrium (NE) in the matrices also moves with capacity price changes. In order to maximize social welfare of the market, NE should locate in a certain position of the payoff matrices, which corresponds to a PC NE. A concept of a critical capacity price is proposed and calculated in this paper that is defined as a minimum capacity price leading to PC NE. The critical capacity price is verified to work as a tool for suppressing a strategic capacity withholding in simulations of a test system.

• 한국국방경영분석학회지
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• 제9권2호
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• pp.61-68
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• 1983

The traditional theories of games are based on an assumption that the payoffs have a single dimension. In reality, any alternative is likely to imply more than one payoff. This paper deals with the game against nature with vector payoffs. The purpose of this paper is to develop methods for finding the practical optimal strategy in the game against nature with vector payoffs. Under the assumption that a prior probability over the stats of nature is given, this paper shows that a practical optimal strategy in this game can be obtained by applying a entropy method in order to assess the payoff weight and by employing the concept of compromise solutions in order to reduce the non-dominated solutions. When subjective payoff weights are unknown as well as known, these methods can be used. A numerical example is given.

• 한국경영과학회지
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• 제6권2호
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• pp.21-23
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• 1981

It is known that two-person zero-sum game with vector payoff can be reduced to a multiple objective linear programming. However, in this case, solutions for the game nay not be one, but many, In many cases in reality, one may need only one solution rather than all solutions. This paper develops a method to find a practical solution for the game by linear programming.

• Asia pacific journal of information systems
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• 제20권2호
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• pp.39-62
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• 2010

As an engineered product, a software package has multiple dimensions that must be designed judiciously to enhance its competitive viability. Functionality, reliability and price are three such common dimensions. However, many software products are sold as bundles of individual components and the competitive impact of bundling has received less attention in the research literature. In this paper, we examine the implications of software vendors using bundling as an element of competitive strategy. A game theoretic model of the actions of an incumbent and a new entrant is developed and the impact on vendor and consumer welfare is analyzed. Numerical experiments with the model show that (i) increasing bundle size is an effective strategy for the incumbent to increase its payoff at the cost of the entrant's payoff and consumer surplus, especially when the entrant's quality is low (ii) in the presence of bundling, the entrant can still increase its own payoff and consumer surplus at the cost of the incumbent's payoff, by increasing product quality up to the level that best segments market demand with the incumbent and (iii) an increase in bundle size by the incumbent, or an increase in quality by the entrant, can both result in an increase of total surplus. Similar results are observed in a related case where the entrant offers free software bundles. Our results provide insights into how software vendors may strategically use bundling and quality as additional product dimensions in order to stay competitive in the market. These results also inform the competing vendors of the impact of bundling related public policy actions on their respective payoffs.