Variance Gamma 과정을 이용한 옵션 가격의 결정 연구

이현의,송성주,Lee, Hyun-Eui,Song, Seong-Joo 한국통계학회 2012 응용통계연구 Vol.25 No.1

블랙-숄즈 모형이 실제 기초자산의 움직임을 반영하지 못한다는 사실이 실증연구에 의하여 밝혀진 이후 기초자산의 움직임을 레비확률과정을 이용하여 모형화한 옵션가격결정 모형들이 그 대안 중 하나로 연구되어 왔다. 본 논문에서는 블랙-숄즈 모형의 대안으로 제시된 레비모형 중 Variance Gamma 모형이 국내 주식시장에서의 기초자산의 움직임을 블랙-숄즈 모형보다 충실히 재현해내는지 알아보고자 한다. 이를 위하여 Madan 등 (1998)의 연구에서와 같이 로그수익률의 확률밀도함수와 옵션 가격 결정식을 바탕으로 KOSPI 200자료를 이용하여 모수를 추정하고 우도비 검정을 실시하였다. 또한, 옵션 가격을 추정한 후 모형 간의 비교를 위하여 다양한 통계량을 계산하고, 회귀분석을 통하여 변동성 스마일 현상이 교정되는지를 살펴보았다. 연구결과로부터 Variance Gamma 모형 하에서 추정된 옵션 가격이 블랙-숄즈 모형 하에서 추정된 그것보다 더 시장가격과 가까우나, 이 모형도 변동성 스마일 현상을 해결해주지는 못함을 확인할 수 있었다. Option pricing models using L$\acute{e}$evy processes are suggested as an alternative to the Black-Scholes model since empirical studies showed that the Black-Sholes model could not reflect the movement of underlying assets. In this paper, we investigate whether the Variance Gamma model can reflect the movement of underlying assets in the Korean stock market better than the Black-Scholes model. For this purpose, we estimate parameters and perform likelihood ratio tests using KOSPI 200 data based on the density for the log return and the option pricing formula proposed in Madan et al. (1998). We also calculate some statistics to compare the models and examine if the volatility smile is corrected through regression analysis. The results show that the option price estimated under the Variance Gamma process is closer to the market price than the Black-Scholes price; however, the Variance Gamma model still cannot solve the volatility smile phenomenon.

원저 : 자궁내 태아사망의 임상적 고찰

이현의 ( Hyun Ui Lee ),박현수 ( Hyun Soo Park ),임형수 ( Hyung Su Lim ),김건우 ( Kun Woo Kim ),박찬우 ( Chan Wook Park ),박중신 ( Joong Shin Park ),전종관 ( Jong Kwan Jun ),윤보현 ( Bo Hyun Yoon ),신희철 ( Hee Chul Syn ) 대한주산의학회 2006 大韓周産醫學會雜誌 Vol.17 No.4

목적 : 본 연구는 자궁내 태아사망의 임상적 특성 및 원인을 분석하여 자궁내 태아사망예방 및 관리에 도움이 되고자 함이다. 방법:1996년 3월 부터 2006년 3월까지 10년간 본원 산부인과에서 관찰된 184예의 자궁내 태아사망을 대상으로, 의무기록을 기초로 하여 임상적 고찰을 시행하였다. 이 중 의무기록 소실로 의무기록을 확인할 수 없었던 14예는 원인, 원인 진단과정에 대한 분석에서는 제외하였다. 결과 : 자궁내 태아사망의 전체 발생빈도는 1.31%였으며 연구 기간 동안의 연도별 발생률에서 차이는 없었다. 대상 산모의 연령은 18세에서 44세까지의 분포를 보였고 30~34세 군을 기준으로 하였을 때 24세 이하 군과 25~29세 군에서 각각 2.455, 1.590의 위험도를 보였으며 통계적으로 의미를 가졌고, 35~39세 군과 40세 이상 군에서는 위험도가 증가하는 경향을 보였으나 통계적 의미를 가지지 않았다. 임신 주수별 자궁내 태아사망의 발생빈도는 각각 29주 미만 38.58%, 29~36주 30.43%, 36주 이상 30.97%의 비율을 보였다. 분만방법은 질식분만이 총 147예(86.5%)였고, 자궁절개술은 14예(8.2%)로 모두 임신 30주 이상의 경우에 시행하였다. 자궁내 태아사망의 원인은 원인불명이 170예 중 63예(37.1%), 태아 측 인자가 50예(29.4%), 태반 및 제대인자가 31예(18.2%), 모체 측 인자가 26예(15.3%)였다. 총 170예 중 128예(75.3%)에서 부검을 시행하였고 148예(87.1%)에서 태반 조직 검사를 시행하였으며 진단과정 중 가장 의미가 있었던 검사는 부검과 태반 조직검사였다. 결론 : 산전관리기술의 발달에도 불구하고 자궁내 태아사망의 빈도는 비교적 일정하게 나타나고 있으며, 원인을 알 수 없는 경우가 가장 많았다. 자궁내 태아사망이 발견된 경우 즉각적인 분만이 이루어져야 하며, 적절한 검사로 태아 사망의 원인을 평가하는 것이 향 후 임신에 도움을 줄 수 있을 것이다. Objective : To investigate the clinical characteristics and etiologic factors of pregnancies with fetal death in utero (FDIU). Methods : Retrospective review of medical records of 184 pregnancies with FDIU between March 1996 and March 2006 was conducted and descriptive analysis was done. Medical records were unavailable in 14 cases which were excluded in the analysis of etiology and diagnostic evaluation. Results : The overall incidence was 1.31%. There was no significant difference in the yearly incidence during the study period. Age distribution of FDIU was between 18 and 44 and the incidence was highest in 25~29 year-old age group. The risk analysis showed statistically significant risk in the age group under 25 (OR, 2.455) and 25~29 (OR, 1.590) compared to 30~34 year-old age group. The risk of age group beyond 35 has a tendency to increase but was not statistically significant. FDIU was the most prevalent (38.58%) among pregnancies less than 29 weeks of gestation. Most of cases were delivered vaginally (86.5%). Etiologic factors included unexplained causes (37.1%), fetal factors (29.4%), placental and cord factors (18.2%) and maternal factors (15.3%). Autopsy was done in 128 cases (75.3%) and placental pathology was examined in 148 cases (87.1%). Among the workups done, autopsy and placental pathology were the most informative. Conclusion : Despite the advance of prenatal care, the incidence of FDIU was steady throughout the study period. The etiology of the largest proportion was unexplained. Once FDIU is diagnosed, prompt delivery should be done and appropriate diagnostic tests should be offered to aid in next pregnancy.

심박조율기용 저전력 고성능 앰프 설계

이현의(Hyun-Ui Lee),이상주(Sang-Ju Lee),임신일(Shin-Il Lim) 대한전자공학회 2007 대한전자공학회 학술대회 Vol.2007 No.11

A amplifier used for biopotential signal detection requires low power consumption and high CMRR. The proposed amplifier in this paper achieve high CMRR using current feedback technique and all transistors work in weak inversion for low power consumption. The current feedback amplifier operated with a 1.5V supply voltage and has a power consumption of about 8.4㎼. The amplifier’s CMRR is more than 120㏈ at biopotential signal frequency.

가상환경에서 힘 반영 촉각장치를 이용한 소형 원격조정 시스템

김대현(Dae-Hyun kim),김영동(Young-Dong Kim),이현의(Hyun-Eui Lee) 전력전자학회 1998 전력전자학술대회 논문집 Vol.- No.-

This paper presents some of challenges of creating feedback force, through manipulation of master manipulator, allowing the user to feel objects within a virtual environment. A sense of touch for the virtual environments was generated by a virtual compliance control method. In theis system data communication between the master and slave, we used TCP protocol. In the experiments, A position error between the master and slave arm was about 13.56˚ in case that the master and slave arm had not compliance properties of the virtual object, while they have the its properties the position error reduced by 2.4 3˚<br/>

연하장애를 동반한 중풍환자 3례에서의 두침 및 전침의 효과

백경민,김민지,이현의,임승민,안정조,유호룡,조현경,김윤식,설인찬,Baek, Kyung-Min,Kim, Min-Ji,Lee, Hyon-Ui,Lim, Seung-Min,Ahn, Jung-Jo,Yoo, Ho-Ryong,Jo, Hyun-Kyung,Kim, Yoon-Sik,Seol, In-Chan 대한한방내과학회 2007 大韓韓方內科學會誌 Vol.28 No.3

Objectives : Although dysphagia is a common complication in stroke patients, there are few studies or reports about its treatment in oriental medicine. This study was to report the effects of scalp-acupuncture and electro-acupuncture in stroke patients with dysphagia. Methods : Three stroke patients with dysphagia hospitalized in our hospital were treated by scalp-acupuncture and electro-acupuncture simultaneously every day, 5 times a week for 4 weeks. Results : All of them showed constant improvement during the four weeks. Not only did their objective measures improve, but also their subjective symptoms such as throat discomfort, sputum, swallowing disturbance etc. Conclusions : This suggests that scalp-acupuncture and electro-acupuncture are quite effective when treating stroke patients with dysphagia. More clinical data and studies are to be done for efficient application.

과루인약침(瓜蔞仁藥鍼)이 Ovalbumin-induced Asthma Mouse Model에 미치는 영향(影響)

김정현,백경민,이현의,김종원,오병열,조현경,유호룡,김윤식,설인찬,심재철,Kim, Jung-Hyun,Baek, Kyung-Min,Lee, Hyun-Eui,Kim, Jong-Won,Oh, Byeong-Yeol,Jo, Hyun-Kyung,Yoo, Ho-Rhyong,Kim, Yoon-Sik,Seol, In-Chan,Shim, Jae-Chul 대한한방내과학회 2005 大韓韓方內科學會誌 Vol.26 No.3

Objectives : The aim of this study was to investigate the effect of Trichosanthis Semen Herbal-acupuncture(TS-HA) at Joksamni(ST36) on ovalbumin-induced asthma in mice. Methods : C57BL/6 mice were sensitized and challenged with ovalbumin(OVA) once a week for twelve weeks. The experimental group was treated with 1% concentrations of TS-HA at Joksamni(ST36) three times a week for the last eight weeks. Results : 1. The weight and total lung cells of the mice in the group treated with TS-HA decreased significantly compared with those of control group. 2. Total leukocytes and eosinophils in Bronchoalveoler-lavage fluid(BALF) of the mice in the group treated with TS-HA decreased significantly compared with those of control group. 3. Eosinophils in BALF of the mice in the group treated with TS-HA in photomicrographs decreased significantly compared with those of control group. 4. According to histological analysis of lung sections, adhension of collagen in TS-HA decreased significantly compared with that of control group. 5. The concentration of IgE, IL-4, IL-5 in BALF and IL-4, IL-5, IL-13 in serum of the mice in the group treated with TS-HA decreased significantly compared with that of control group. 6. The number of $Gr-^+/CD11b^+,\;CD11b^+,\;CD3e^-/CCR3^+,\;CD4^+,\;CD8^+\;CD3e^+/CD69^+,\;CD23^+/B220^+\;cells$ in the lungs of the mice in the group treated with TS-HA decreased significantly compared with those of control group. Conclusion : These results suggest that Trichosanthis Semen-herbal acupuncture at Joksamni(ST36) done on C57BL/6 mice is effective in part in relieving OVA-induced asthma in C57BL/6 mice.

연구논문 : 급속응고된 Fe - Mn - Al - Mo - W - Nb - C 오스테나이트합금의 열처리중 조직변화

한관희(Kwan H . Han),이현의(Hyun E . Lee) 대한금속재료학회(구 대한금속학회) 1994 상변태 심포지엄 Vol.5 No.-

Methotrexate를 투여하여 보존적 치료를 시행한 감입태반

김명신 ( Myung Sin Kim ),이현의 ( Hyun Ui Lee ),윤정민 ( Jung Min Yoon ),황규리 ( Kyu Ri Hwang ),전혜원 ( Hye Won Jun ) 대한산부인과학회 2008 Obstetrics & Gynecology Science Vol.51 No.11

Placenta increta is a kind of placental adhesion which can cause severe postpartum hemorrhage and life-threatening condition. It might necessitate a hysterectomy, but conservative management can be considerable for preserving reproductive potential when possible. A 34-years-old woman in her 41st week of pregnancy had normal full term spontaneous delivery. Retained placenta after removal by placenta forceps resulted in mild bleeding. Placenta increta was clinically diagnosed on computerized tomography. Remnant placenta in situ was nearly disappeared 2 months later after five-time intramuscular injection of 50 mg methotrexate and three-times curettage was done for conservative management.

뇌경색과 뇌출혈의 초기 혈액학적 소견 비교 연구

김종원,심재철,김정근,김정현,백경민,이현의,오병열,조현경,유호룡,김윤식,설인찬,Kim, Jong-Won,Shim, Jae-Chul,Kim, Jeong-Keun,Kim, Jung-Hyun,Baek, Kyung-Min,Lee, Hyun-Eui,Oh, Byeong-Yeol,Jo, Hyun-Kyung,Yoo, Ho-Rhyong,Kim, Yoon-Sik,Seol, 대한중풍순환신경학회 2005 대한중풍.순환신경학회지 Vol.6 No.1

1. Purpose : The purpose of this study was done to compare the sex, past history, hematologic relationship between the Cerebral infarction patients and the Cerebral hemorrhage patients. 2. Methods : We selected the two study groups. The one is 20 Cerebral infarction patients and the other 20 Cerebral hemorrhage patients with confirmed by Brain CT or MRI. We made an investigation into past history. We examined and made a comparative study of CBC, LFT, Na, K, Cl in the both group. 3. Result & Conclusion : In the Cerebral hemorrhage group, there were many patients with Hypertension and Diabetes mellitus than the Cerebral infarction group. In the Cerebral infarction group, there were many patients with abnormal RBC count with no significant. Also, ESR is higher than the other group. Between the Cerebral infarction and the other group, we discovered significant cases with abnormal triglyceride, ALP in the Cerebral infarction group(p<0.05). Abnormal triglyceride is known one of important risk factor of Cerebral infarction, but this study was significant in the Cerebral hemorrhage group. Also, ALP was significant in the Cerebral hemorrhage group. Therefore more extensive research is needed.

난소과자극증후군 환자에서 후천적 혈전성향증의 임상적 의의

김선민 ( Sun Min Kim ),지병철 ( Byung Chul Jee ),김재원 ( Jae Weon Kim ),윤정민 ( Jung Min Youn ),이현의 ( Hyun Ui Lee ),서창석 ( Chang Suk Suh ),김석현 ( Seok Hyun Kim ) 대한산부인과학회 2008 Obstetrics & Gynecology Science Vol.51 No.7

목적: 난소과자극증후군으로 입원 치료를 받은 환자들에서 혈전성향증의 임상적 중요성을 알아보고자 하였다. 방법: 자궁강내 정자주입술이나 체외수정시술을 위해 과배란유도를 시행한 후 발생한 난소과자극증후군으로 입원 치료를 받은 25명의 불임 여성을 대상으로 입원 당시 혈액을 채취하여 항트롬빈 III, C단백, S단백 등 세 가지 혈전성향 인자를 검사하였다. 환자들을 중증 난소과자극증후군 (n=18) 과 경증 난소과자극증후군 (n=7) 으로 나누어 세 가지 혈전성향 인자를 포함한 혈중 지표들을 비교하였다. 결과: 항트롬빈 III는 대상 환자 중 40%에서 정상보다 낮은 소견을 보였고, C단백은 12%, S단백은 72%에서 비정상치를 보였다. 항트롬빈 III가 정상인 군 (n=15)과 감소한 군 (n=10) 사이에 혈중 지표들은 차이가 없었다. 그러나 항트롬빈 III가 낮은 군에서 정상인 군에 비해 중증 난소과자극증후군이 많았다 (100% vs 55.6%, P=0.013). 또한 세 가지 혈전성향 인자 중 적어도 한 가지에서 이상 소견을 보인 환자들에서 세 가지 인자가 모두 정상인 환자들에 비해 중증 난소과자극증후군이 많았다 (94.4% vs 42.9%, P=0.012). 결론: 혈전성향 인자, 특히 항트롬빈 III는 난소과자극증후군의 중증도와 긴밀한 관련이 있는 것으로 사료된다. Objective: To investigate the clinical significance of thrombophilia in patients admitted with ovarian hyperstimulation syndrome (OHSS). Methods: Twenty-five infertile women who were admitted into university hospital due to OHSS after ovarian hyperstimulation for intrauterine insemination or in vitro fertilization. Blood samples were drawn at the time of admission and three thrombophilic factors were assayed; antithrombin III, protein C and protein S. Subjects were divided into severe (n=18) and mild-to-moderate (n=7) OHSS, and laboratory parameters including three thrombophilic factors were compared. Results: Antithrombin III level was abnormal in 40% of subjects, protein C in 12%, and protein S in 72%. There was no significant difference in the laboratory parameters between the patients with normal (n=15) and abnormal antithrombin III levels (n=10). However, the patients with abnormal antithrombin III levels had significantly more severe OHSS than those with normal value (100% vs 55.6%, P=0.013). The patients with at least one abnormal thrombophilic factor had significantly more severe OHSS than those with all normal value (94.4% vs 42.9%, P=0.012). Conclusions: Thrombophilic factors, particularly antithrombin III, may be associated with disease severity in patients with OHSS.