• Journal of the Korea Institute of Information and Communication Engineering
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• v.26 no.10
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• pp.1423-1431
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• 2022

Volatility is one of the variables that the Black-Scholes model requires for option pricing. It is an unknown variable at the present time, however, since the option price can be observed in the market, implied volatility can be derived from the price of an option at any given point in time and can represent the market's expectation of future volatility. Although volatility in the Black-Scholes model is constant, when calculating implied volatility, it is common to observe a volatility smile which shows that the implied volatility is different depending on the strike prices. We implement supervised learning to target implied volatility by adding V-KOSPI to ease volatility smile. We examine the estimation performance of KOSPI200 index options' implied volatility using various Machine Learning algorithms such as Linear Regression, Tree, Support Vector Machine, KNN and Deep Neural Network. The training accuracy was the highest(99.9%) in Decision Tree model and test accuracy was the highest(96.9%) in Random Forest model.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• autumn
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• pp.423-426
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• 2002

The foundation for developing a cost estimation system based on historical data has been being prepared in Korea. Historical data is a priori of developing a cost estimation model. Cost Index, one of the historical data, is used to estimate construction cost and to adjust the amount of contract money in the foreign country, whereas it is not used in domestic except for the road construction project in Korea. Construction cost indices can be used by an estimator in tender analysis, pricing, price adjustment, cost planning, and forecasting. In this regards, this paper identified the problems in developing Cost Index evaluation process by comparing the standard of framing Cost Index used in British to the one used in Korea. Then, the scheme for improving a Cost Index required for Site Developing Construction was proposed. Twenty-two cases of engineering estimate data were used to compare the domestic standard to the foreign one in deriving a Cost Index.

• Economic and Environmental Geology
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• v.41 no.5
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• pp.551-562
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• 2008

Option pricing model in finance has been applied to price non-financial options, called real options. The real option valuation method is ideally suited to irreversible decision making under uncertainty, including the need to determine the optimal time to act and even change between alternative courses of action as information is collected. Therefore, the real option valuation method is expected to provide a superior and less subjective approach to determining optimal strategies for water resources supply projects, which have been reported to have huge risks due to uncertainties, and investors and policy makers need to build an optimal strategy - when and if to invest - with uncertainties and managerial flexibilities considered.

• Korean Management Science Review
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• v.33 no.3
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• pp.19-30
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• 2016

This study provides a framework to assess network design under the regime of QoE (Quality of Experience). Our approach is expected to reveal the necessity of developing the QoE measures and applying this notion to network design, particularly in the mobile environment. Furthermore, our model shows the ample potential that both users and network providers are able to attain a win-win case by shifting the focus on network design and service operations from QoS (Quality of Service) to QoE. Since the former considers only relevant technological specifications, it may fail in capturing critical factors surrounding users, such as a context where the corresponding user is working on. For example, according to one study [13], the bit-rate, a widely employed QoS measure, shows inferior performance in provisioning network resources to the MOS (Mean Opinion Score), a representative QoE measure. Our framework develops the idea and construct a prototype to systematically assess network design and operations in terms of QoE. The proposed prototype aims at achieving a higher level of efficiency without severely deteriorating users' satisfaction level. We also provide some simulation results which support our idea. That is, reducing the chance of over-provisioning on the basis of the QoE paradigm results in a great flexibility. It may give price cut for users or postponement of network investment for providers or both. Our simulation results also seem robust irrespective of the forms of the QoS-QoE relationship.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.11a
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• pp.437-452
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• 2006

Previous research on two-sided markets has, for the most part, concentrated on indirect network externalities between buyers and sellers. This paper considers direct competition effect among sellers and among buyers as well as indirect network externalities. We develop an analytic model of C2C e-marketplaces and examine whether a monopolistic incumbent could successfully deter new entry into its market. We find that the effect of the number of sellers or buyers on the price of goods depends on whether sellers have decided to sell the goods using an auction or fixed pricing rule and on the characteristics of the goods. We argue that when the effect of the number of sellers on the price of goods is significantly larger than that of buyers, there is a high possibility of entry. In particular, we show that entry becomes more difficult to deter as fixed-price format is adopted more frequently or the proportion of collectables is relatively low.

• Proceedings of the Korea Technology Innovation Society Conference
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• 2017.05a
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• pp.161-174
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• 2017

최근 들어 기술벤처기업에 대한 투자가 증가하고, 이를 위한 기술신용평가의 역할이 증대하였다. 그러나 금융권에서 바라보는 기술신용평가의 경우, 해당 기업의 신용등급이나 기술(력) 등급평가에 초점을 두어, 대상기술의 사업화 및 수익성 관점을 체계적으로 반영하지 못하는 한계를 지닌다. 따라서, 벤처캐피털(VC)이나 엔젤투자자를 비롯한 금융권에서 대상기술의 수익성 정보를 참조하거나 기술벤처기업 설립시 기술지분을 참고하는 등, 기존 기술이전거래 협상참조용이나 담보 보증용에 널리 이용되던 기술가치평가의 활용범위가 급격히 확대되고 있다. 제조 서비스 분야의 일반 기술 뿐만이 아니라, 바이오 제약 의료 분야 기술에서도 미래 투입되어야 하는 사업화 소요기간 및 비용을 고려하여 기술가치를 산정해야 할 때가 있다. 기존의 현금흐름할인법(DCF법)이 연속된 투자에 대한 고려를 못하거나 기술적용 제품의 상용화 투입비용에 대한 확률적인 속성을 반영하지 못하는 등 한계점을 지니고 있다. 그러나 기술과 투자의 가치는 기회가치로 보고 자원배분을 위한 의사결정 정보를 감안해야 하므로, 실물옵션의 개념을 적용하는 것이 바람직하다고 여겨진다. 흔히 기업가치를 평가할 때 주가의 변동성(volatility) 개념을 도입하여 전일종가 대비 익일시가의 분산값을 활용하기도 한다. 이러한 개념을 기술가치평가에 적용하기 위해서는 '주가의 연속성(상대적 미세한 변화)' 및 '양(+)의 조건'을 고려해야 하는데, 실제 기술가치평가 상의 현금흐름은 사업초기년도 음(-)의 값이 나타나거나 2~3년 내외의 짧은 수익예상기간 하에서는 주가와 같은 변동성을 도출하는데 무리가 있다. 따라서 많은 문헌에서 연구된 바와 같이, 실물옵션 기반의 기술가치 산정을 위한 블랙-숄즈 모형에서 변동성과 기초자산가치, 그리고 사업화비용 간의 관계를 살펴볼 필요가 있다. 아울러 옵션가격결정모형(Option Pricing Model)에서 불확실성을 반영한 기초자산의 현재가치와 사업화비용의 현재가치분이 특정 임계조건 하에서 '옵션행사 포기(NAT; no action taken)' 영역으로 구분되는 지를 수학적으로 도출하고 관찰변수(입력값)에 따른 옵션가치 산출표를 개발하여 제시한다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.14 no.10
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• pp.4830-4836
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• 2013

This research was launched as an attempt to help create a new value-added product called "Green Jujube Chip." To accomplish the objectives, consumers value by attributes of Green Jujube Chip should be estimated. We used Choice Experiment for analysis, which we used to arrive at pricing of specialty jujube chips based on the conditional logit model. As a result, MWTP were estimated at 1333 Won/unit for Mid-size Company Product, 1752 Won/unit for Large Company Product, 1703 Won/unit for University Affiliation, 350 Won/unit for packing unit, 548 Won/unit for rating the raw fruit, 1,322 Won/unit for HACCP, and 1,166 Won/unit for ISO22000. The consumer's WTP for Green Juju Chip, associated with the university-brand recognition, was higher than a product produced by a mid-sized company but lower than a product by a large company. Given how the consumers regard the university-brand product as a specialty item, it is necessary to create value-added products that meet such high expectation. Therefore, we recommend the producers to acquire HACCP Food Safety Certification and the value-added product has used the highest quality raw fruit.

• 제어로봇시스템학회:학술대회논문집
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• 2005.06a
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• pp.158-163
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• 2005

Competitive electricity markets necessitate equitable methods for allocating transmission usage in order to set transmission usage charges and congestion charges in an unbiased and an open-accessed basis. So in competitive markets it is usually necessary to trace the contribution of each participant to line usage, congestion charges and transmission losses, and then to calculate charges based on these contributions. A UPFC offers flexible power system control, and has the powerful advantage of providing, simultaneously and independently, real-time control of voltage, impedance and phase angle, which are the basic power system parameters on which sys-tem performance depends. Therefore, UPFC can be used efficiently and flexibly to optimize line utilization and increase system capability and to enhance transmission stability and dampen system oscillations. In this paper, a mathematical approach to allocate the contributions of system users and UPFCs to transmission system usage is presented. The paper uses a dc-based load flow modeling of UPFC-inserted transmission lines in which the injection model of the UPFC is used. The relationships presented in the paper showed modified distribution factors that modeled impact of utilizing UPFCs on line flows and system usage. The derived relationships show how bus voltage angles are attributed to each of changes in generation, injections of UPFC, and changes in admittance matrix caused by inserting UPFCs in lines. The relationships derived are applied to two test systems. The results illustrate how transmission usage would be affected when UPFC is utilized. The relationships derived can be adopted for the purpose of allocating usage and payments to users of transmission network and owners of UPFCs used in the network. The relationships can be modified or extended for other control devices.

• The Journal of the Korea Contents Association
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• v.10 no.11
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• pp.304-317
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• 2010

The study was performed to measure structural relationship among service value, brand image, and royalty of patients in regional public hospitals in Korea. Based on the analysis, the study aims to establish strategic direction of the regional public hospitals. Through a review of related literatures, measurement variables were identified, and a path model was developed for the study. Five regional public hospitals were chosen, and questionnaire has been collected from 387 outpatients and 358 inpatients. The study found that service value has a positive direct effect on brand image, and brand image has a positive direct effect on loyalty. Based on the findings, it is desirable for the regional public hospitals should mange the issues with lower level of perception and those with bigger effect, and establish low pricing strategy with improving the quality of service they provide.

• Information Systems Review
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• v.9 no.3
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• pp.183-204
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• 2007

As the innovation of Information technology in the Public sector is in progress, the "Efficient adaptation and management of information system Act" (passed the National Assembly in December 30, 2005) was established to support the information system planning and development which are systematic and integrated in the enterprise view point. The public sector should adopt Information Technology Architecture into it's organization by the act. This paper reports on the issues, solutions and CSFs (Critical Success Factors) considering the adoption of ITA through the implementation for the case of the Korea Post. To adopt ITA program to the Public sector successfully, Korea Government should set the clear goals for IT A, set the standards for IT A project pricing, and collaborate with the system integration industry to make successful IT A program cases. The case study of Korea Post of MIC will be useful in developing and managing ITA programs for all agencies and organizations considering adoption of ITA.