• Journal of applied mathematics & informatics
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• v.41 no.1
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• pp.33-50
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• 2023

Foreign exchange options are derivative financial instruments that can exchange one currency for another at a prescribed exchange rate on a specified date. In this study, we examine the analytic formulas for vulnerable foreign exchange options based on multi-scale stochastic volatility driven by two diffusion processes: a fast mean-reverting process and a slow mean-reverting process. In particular, we take advantage of the asymptotic analysis and the technique of the Mellin transform on the partial differential equation (PDE) with respect to the option price, to derive approximated prices that are combined with a leading order price and two correction term prices. To verify the price accuracy of the approximated solutions, we utilize the Monte Carlo method. Furthermore, in the numerical experiments, we investigate the behaviors of the vulnerable foreign exchange options prices in terms of model parameters and the sensitivities of the stochastic volatility factors to the option price.

• Journal of the Korean Mathematical Society
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• v.43 no.2
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• pp.383-398
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• 2006

We consider a geometric Levy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Levy process.

• Journal of the Korean Society of Clothing and Textiles
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• v.45 no.5
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• pp.892-906
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• 2021

This study explores the effects of providing information on the price fairness perception and intention of continuous use in an online fashion platform, given a price difference due to AI algorithm pricing. We investigated the moderating roles of price inequality (loss vs. gain) and technology insecurity. The experiments used four stimuli based on price inequality (loss vs. gain) and information provision (provided or not) on price inequality. We developed a mock website and offered a scenario on the product presentation based on an AI algorithm pricing. Participants in their 20s and 30s were randomly allocated to one of the stimuli. To test the hypotheses, a total of 257 responses were analyzed using Process Macro 3.4. According to the results, price fairness perception mediated between information provision and continuous use intention when consumers saw the price inequality as a gain. When the consumers perceived high technology insecurity, information provision affected the intention of continuous use mediated by price fairness perception.

• Proceedings of the Society of Korea Industrial and System Engineering Conference
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• 2002.05a
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• pp.343-348
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• 2002

We are concerned with a long-term replenishment contract for the ARIMA demand process in a supply chain. The chain is composed of one supplier, one buyer and consumers for a product. The replenishment contract is based upon the well-known (s, Q) policy but allows us to contract future replenishments at a time with a price discount. Due to the larger forecast error of future demand, the buyer should keep a higher level of safety stock to provide the same level of service as the usual (s, Q) policy. However, the buyer can reduce his purchase cost by ordering a larger quantity at a discounted price. Hence, there exists a trade-off between the price discount and the inventory holding cost. For the ARIMA demand process, we present a model for the contract and an algorithm to find the number of the future replenishments. Numerical experiments show that the proposed algorithm is efficient and accurate.

• Journal of the Korea Safety Management & Science
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• v.18 no.4
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• pp.115-122
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• 2016

Price quotations for SOR / RFQ from OEM clients is a very important process in the automotive parts industry. However, OEM clients are demanding a price quote on short duration but it takes long delivery time due to sales, research and development, purchasing, production and cost management departments role and jobs focused on detail and responsibility. And to provide a reasonable alternative with eliminating the waste of non-value processes is to achieve OEM clients satisfaction through standardized and parallel processing, IT system based on the systems and processes of global benchmark companies.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.31 no.5D
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• pp.719-726
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• 2011

The government intensifies screening criteria for the guarantee of reasonable bidding price and the prevention of low bidding price, however, the low tender rate still becomes an issue. This study analyzed the problems of screening criteria for the guarantee of reasonable bidding price, and then derived some major issues such as the restriction of decisive factors for initial construction cost, the rate of activities over five percent of surveyed price and the restrictive review criteria of inadequate activities. To solve thess problems, this study suggests an improved process model for estimating optimal bidding rate that can select a contractor with the guarantee of reasonable bidding price.

• Journal of Korea Society of Digital Industry and Information Management
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• v.15 no.4
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• pp.173-187
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• 2019

Based on the theory of planning behavior, the purpose of this study was to validate the path to consumers organic bakery product purchasing process, and moderating effect of price sensitivity. The improvement of national income and changes in diet due to economic growth began to increase consumption of organic and eco-friendly farm products, and thus products using organic materials began to be released in bakeries. Thus, it was necessary to understand consumer awareness and purchasing processes for organic bakery products. Specifically, the study examined the structural relations among purchase reasons, purchase motives, and purchase behavioral intention of organic bakery products. A survey was conducted in May 2019 from adults who had experience purchasing organic bakery products in Seoul metropolitan area, and 327 responses were used for data analysis. The findings of the study showed that consumers' interests in health, food safety, and environment had positive effects on their attitudes, subjective norm, and perceived behavioral control toward organic bakery products, while their interests in organic products did not have an effect on perceived behavioral control. There were significant differences in the purchasing process of organic bakery products according to their price sensitivity. The study suggests that the correct delivery of information on organic ingredients and the price policies available to many consumers will contribute to the revitalization of organic bakery products.

• Korean Management Science Review
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• v.29 no.1
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• pp.33-56
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• 2012

Domestic LCD TV market is composed of two groups of products produced by major firms and small and medium enterprises. The major companies make the price relatively high, but the other makes lower in the same sizes. The model of the low price products does not make consumers choice when they choose LCD TV. This makes the questions of capability between difference price products. The reason above mentioned, the firms that include group of comparatively lower price, are worried about not increasing sale because of prejudice. This study is to find any interrelationship and evaluate the efficiency between the products using performance, exterior and brand power of product. In order to do this, a hybrid AHP/DEA evaluation model for comparison/valuation of LCD TV products is developed. The proposed process is; first, to derive hierarchy structure of LCD TV evaluation criteria using axiomatic design, second, to calculate the score of each LCD TV product through AHP analysis including weight calculation of evaluation criteria, and last, to evaluate the efficiency of LCD TV product by applying DEA by defining product scores as output and prices as input. It concludes that the high price products shows good efficiency, but there are some products with good exterior and brand power, not performance, also presenting good efficiency.

• Environmental and Resource Economics Review
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• v.14 no.4
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• pp.943-964
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• 2005

This study estimated a wide range of stochastic process models using the frameworks of CKLS (1992) and Nowman and Wang (2001). For empirical analysis, the GMM estimation procedure is adopted for the monthly Brent crude oil prices from January 1996 to January 2005. Using the simulated price series, European call option premiums were calculated and compared each other. The empirical results suggest that the crude oil price has a strong dependency of volatility on the price level. Contrary to the results of previous related studies, it shows a weak tendency of mean reversion. In addition, the models provide different implications for pricing derivatives on crude oil.

• Journal of the Korean housing association
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• v.12 no.2
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• pp.45-54
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• 2001

The purpose of this research was to analyze the correlation between the Apartment Purchase Price Decision Factor and Amenity decision Factor with cognition of the Consumer. The result are as follows; 1. The correlation coefficient between the Apartment Price Decision Factor and Amenity decision Factor with cognition of the Consumer was 0.587. 2. The ranking of the purchase price factor which it prefers were analyzed orientation > sunlight > view > the rising price expectation > natural environment etc. And the ranking of the amenity were analyzed orientation > natural environment > view > sunlight > noise etc. 3. Consumer group was classified the location, sex, year of ages and unit scale. The rank correlation coefficient of (the significant was below 0.05) sex was 0.617~0.644, year of ages was 0.62~0.771 and unit scale was 0.762~0.852. This research proved the fact that the amenity correlated with the apartment purchase price decision factor, so amenity contained an economic value. And this result will be used in decision-making-process of apartment construction.