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금리구조화상품의 가치평가를 위한 Extended LSMC에 관한 연구
성한기 ( Han Ki Seong ),이상빈 ( Sang Bin Lee ) 한국파생상품학회(구 한국선물학회) 2014 선물연구 Vol.22 No.4
몬테카를로 시뮬레이션(Monte Carlo Simulation, MCS)을 이용하여 옵션의 계속가치를 평가하기 위한 방법으로 Longstaff and Schwartz(2001)는 최소자승추정 몬테카를로 시뮬레이션(least square monte carlo simulation, LSMC)을 소개하였고, Huge and Rom-Poulsen(2007)은 LSMC의 옵션가치 추정오차를 감소시키는 방법(Extended LSMC)을 제안하여 더욱 발전시켰다. 본 연구는 Hull and White(1990)와 Extended LSMC를 이용하여 조기상환조건이 있는 callable Range Accrual Note(CRAN)를 평가하는 방법을 제안하였다. 나아가 본 연구에서는 기초자산 가격과 계속가치를 추정하기 위한 각 단계에서 이들 추정대상의 설명력을 높일 수 있는 기저함수에 대해 분석한 후 기저함수의 선택에 따른 추정결과의 차이를 비교하였다. 기저함수에 대한 분석을 위해 CRAN을 고정금리채권과 지연디지털옵션의 포트폴리오로 정의하고, 각각의 해석 공식(analytic formula)을 이용하여 RAN의 기저함수로 상수항, 순간이자율, 그리고 Range를, 계속가치의 기저함수로는 상수항, RAN, 그리고 Range를 선택하여 그 추정결과의 차이를 분석하고 개선효과를 도출한다. This paper examines which basis functions are efficient to employ a combined method of Hull and White (1990) with the Monte Carlo simulation when we price a callable range note or a callable bond. We use the Huge and Rom-Poulsen (2007) method which has modified the least squared Monte Carlo simulation proposed by Longstaff and Schwartz (2001) to reduce the estimation errors of the continuation value or the underlying assets. To use Monte carlo Simulation for pricing the early exercise premium, it is essential to accurately estimate the continuation value, because the investors will choose the higher value between the exercise and the continuation value at the possible early exercise dates. The main purpose of this paper is to analyze the estimation errors originating from the choice of the basis functions for the underlying asset and the continuation value estimation. We choose the callable bond and the callable range accrual note to show which basis functions are reliable to reduce the estimation errors. For this purpose, we replicate the callable range accrual note with a portfolio of a fixed rate bond and a delayed digital option. We use several basis functions such as a constant, the instantaneous interest rates, and the range in order to see which basis function is efficient for our purpose. We examine several combinations of the basis functions depending on which basis functions will be used for the underlying asset or the continuation value estimation. We show that the range which is an important determinant of the callable range accrual note is an effective basis function to accurately determine the underlying asset and the continuation value for the pricing of the callable range accrual note.
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최민진,조정민,최영호,최민호,이춘수,성한기,이경실,박기훈,황세종,Choi, Min Jin,Cho, Jeong-Min,Choi, Young Ho,Choi, Min Ho,Lee, Choon Soo,Sung, Han Ki,Lee, Kyoung Sil,Park, Ki Hun,Hwang, Se Jong 한국화학공학회 2022 Korean Chemical Engineering Research(HWAHAK KONGHA Vol.60 No.2
In this paper, paint-free metallic plastic material, polypropylene (PP) and acrylonitrile styrene acrylate (ASA) materials were investigated on the applications for bumper skid plate and outside mirror housing parts. In order to maximize metallic effect, type, size and content of aluminum pigment were optimized based on flop index. Hybrid aluminum pigments with different aspect ratios were used to conceal weld lines. By controlling the fluidity of the material, the flow mark problem, generated on the surface of the part, was resolved. We also investigated the surface defects of flow and weld lines by using the developed modeling and simulation.
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최민진(Min Jin Choi),조정민(Jeong-Min Cho),최영호(Young Ho Choi),최민호(Min Ho Choi),이춘수(Choon Soo Lee),성한기(Han Ki Sung),이경실(Kyoung Sil Lee),박기훈(Ki Hun Park),황세종(Se Jong Hwang) 한국자동차공학회 2020 한국자동차공학회 부문종합 학술대회 Vol.2020 No.7
In this paper, mold in color polypropylene (PP) and acrylonitrile styrene acrylate (ASA) materials were investigated on the applications for skid plate and outside mirror housing parts. In order to maximize the metallic effect,the type, size and content of aluminum pigment were optimized based on flop index. Hybrid aluminum pigments with different aspect ratios were used to conceal weld lines. By controlling the fluidity of the material,the flow mark problem, generated on the surface of the part, was resolved. We also investigated the surface defects of flow and weld lines by using the developed modeling and simulation.
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