http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
A COMPARISON STUDY OF EXPLICIT AND IMPLICIT NUMERICAL METHODS FOR THE EQUITY-LINKED SECURITIES
( Minhyun Yoo ),( Darae Jeong ),( Seungsuk Seo ),( Junseok Kim ) 호남수학회 2015 호남수학학술지 Vol.37 No.4
In this paper, we perform a comparison study of explicit and implicit numerical methods for the equity-linked securities (ELS). The option prices of the two-asset ELS are typically computed using an implicit finite difference method because an explicit finite difference scheme has a restriction for time steps. Nowadays, the three-asset ELS is getting popularity in the real world financial market. In practical applications of the finite difference methods in computational finance, we typically use relatively large space steps and small time steps. Therefore, we can use an accurate and efficient explicit finite difference method because the implementation is simple and the computation is fast. The computational results demonstrate that if we use a large space step, then the explicit scheme is better than the implicit one. On the other hand, if the space step size is small, then the implicit scheme is more efficient than the explicit one.
A COMPARISON STUDY OF EXPLICIT AND IMPLICIT NUMERICAL METHODS FOR THE EQUITY-LINKED SECURITIES
YOO, MINHYUN,JEONG, DARAE,SEO, SEUNGSUK,KIM, JUNSEOK The Honam Mathematical Society 2015 호남수학학술지 Vol.37 No.4
In this paper, we perform a comparison study of explicit and implicit numerical methods for the equity-linked securities (ELS). The option prices of the two-asset ELS are typically computed using an implicit finite diffrence method because an explicit finite diffrence scheme has a restriction for time steps. Nowadays, the three-asset ELS is getting popularity in the real world financial market. In practical applications of the finite diffrence methods in computational finance, we typically use relatively large space steps and small time steps. Therefore, we can use an accurate and effient explicit finite diffrence method because the implementation is simple and the computation is fast. The computational results demonstrate that if we use a large space step, then the explicit scheme is better than the implicit one. On the other hand, if the space step size is small, then the implicit scheme is more effient than the explicit one.
Minhyun Cho(조민현),Sangjun Yoo(유상준),Juhyun Park(박주현),Chang Wook Jeong(정창욱),Ja Hyeon Ku(구자현),Cheol Kwak(곽철),Hyeon Hoe Kim(김현회),Min Chul Cho(조민철),Hyeon Jeong(정현) 대한비뇨기종양학회 2018 대한비뇨기종양학회지 Vol.16 No.2
Purpose: We evaluated the prognostic value of the 5-tiered grade group in Korean patients who underwent radical prostatectomy. Materials and Methods: Between 1996 and 2016, a number of 2,883 consecutive patients who underwent radical prostatectomy were included for the analysis. The impacts of biopsy and pathologic grade group on predicting biochemical recurrence (BCR) were assessed using multivariate analysis. Median follow-up duration was 49.0 months. Results: Mean age was 66.5 years and prostate-specific antigen (PSA) was 11.8 ng/mL. Prostate cancer was locally advanced on magnetic resonance imaging in 13.4%. Biopsy grade group was as follows: 1 (46.8%), 2(19.8%), 3 (14.2%), 4 (14.1%), and 5 (5.1%). Pathology stage was ≤T2 in 63.6%, T3a in 26.0%, and T3b/T4 in 10.4% patients. Pathologic grade was as follows: 1 (31.3%), 2 (37.9%), 3 (20.2%), 4 (4.7%), and 5 (5.1%). In multivariate analysis using biopsy-related variables, biopsy grade group (1, reference; 2, hazard ratio [HR], 1.771; p=0.001; 3, HR, 2.736; p<0.001; 4, HR, 2.966; p<0.001; 5, HR, 3.707; p<0.001) was associated with BCR-free survival, PSA level and % positive core. In multivariate analysis using pathologic outcomes, pathologic grade group(1, reference; 2, HR, 1.882; p<0.001; 3, HR, 3.352; p<0.001; 4, HR, 3.890; p<0.001; 5, HR: 3.118, p<0.001) was associated with BCR-free survival in addition to pathologic stage and positive surgical margin. Conclusions: New 5-tiered grading system could be useful for predicting oncological outcomes in Korean patients although its role for distinguishing outcomes between patients with grade groups 3.5 need to be validated before wide application of this grade system in Korea.
Lee, Minhyun,Hong, Taehoon,Yoo, Hyunji,Koo, Choongwan,Kim, Jimin,Jeong, Kwangbok,Jeong, Jaewook,Ji, Changyoon Elsevier 2017 RENEWABLE & SUSTAINABLE ENERGY REVIEWS Vol.75 No.-
<P><B>Abstract</B></P> <P>Solar Renewable Energy Certificates (SREC) in the United States (U.S.) have become an important driver for promoting the solar photovoltaic (PV) system. However, the SREC price volatility is considered the major barrier for installing the solar PV system due to the uncertainty of the revenue from selling the SREC. To address this challenge, this study aimed to establish a base price for SREC in order to encourage the installation of residential solar PV systems in the U.S. Toward this end, this study conducted the life cycle cost analysis to establish the minimum SREC prices required for reaching the target payback period of the residential solar PV system in the U.S. In addition, this study conducted the comparative analysis from the perspectives of residents and state governments by considering the SREC prices. This study was conducted in four steps: (i) target selection; (ii) data collection; (iii) defining assumptions; and (iv) establishing the minimum SREC prices. The results showed that Massachusetts and New Jersey are the most superior state from the perspective of both residents and state governments. This study can help both residents and state governments to get financial advice for installing solar PV system and improving the SREC-related policies.</P>
Hong, Taehoon,Yoo, Hyunji,Kim, Jimin,Koo, Choongwan,Jeong, Kwangbok,Lee, Minhyun,Ji, Changyoon,Jeong, Jaewook PERGAMON 2018 RENEWABLE AND SUSTAINABLE ENERGY REVIEWS Vol.82 No.1
<P><B>Abstract</B></P> <P>The solar lease business is a recent market trend that has been introduced in many countries. An example is the U.S. solar lease payment (LP) business, which is a payment facility for leasing the solar PV system, where the customers pay a certain amount to a third-party company. In the solar lease business, the profit obtained by residences and third-party companies depends on the solar LP. Several impact factors should be simultaneously considered when estimating the solar LP that guarantees the profitability of the business for both sides. This study aimed to develop a model for determining the optimal solar LP in the solar lease business for residences and third-party companies. A genetic algorithm was utilized to solve the trade-off problem, among the many factors involved. The optimal solar LP was provided according to two categories: (i) the electricity generation rate by region; and (ii) the electricity consumption rates of multi-family housing complexes. In terms of the region, the optimal solar LP depended on the electricity generation rate, and the difference between the highest and lowest monthly solar LPs per unit was US$0.30. In terms of the electricity consumption rate, the optimal solar LP depended on the electricity consumption rate and the number of units, and the difference between the highest and lowest monthly solar LPs per unit was US$3.14. The developed model makes it possible for the government to suggest the optimal solar LP for promoting the solar lease business, and to develop a solar PV system.</P>
PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS
JUNSEOK KIM,MINHYUN YOO,HYEJU SON,SEUNGGYU LEE,MYEONG-HYEON KIM,YONGHO CHOI,DARAE JEONG,YOUNG ROCK KIM 한국산업응용수학회 2016 Journal of the Korean Society for Industrial and A Vol.20 No.2
In this paper, we propose an optimal choice scheme to determine the best option among comparable options whose current expectations are all the same under the condition that an investor has a confidence in the future value realization of underlying assets. For this purpose, we use a path-averaged option as our base instrument in which we calculate the time discounted value along the path and divide it by the number of time steps for a given expected path. First, we consider three European call options such as vanilla, cash-or-nothing, and asset-or-nothing as our comparable set of choice schemes. Next, we perform the experiments using historical data to prove the usefulness of our proposed scheme. The test suggests that the path-averaged option value is a good guideline to choose an optimal option.
Jeong, Darae,Yoo, Minhyun,Kim, Junseok Hindawi Limited 2016 Discrete dynamics in nature and society Vol.2016 No.-
<P>We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the strike price. The Black-Scholes equation is discretized using a nonuniform finite difference method. We propose a new adaptive time-stepping algorithm based on local truncation error. As a test problem for our numerical method, we consider a European cash-or-nothing call option. To show the effect of the adaptive stepping strategy, we calculate option price and its Greeks with various tolerances. Several numerical results confirm that the proposed method is fast, accurate, and practical in computing option price and the Greeks.</P>
ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION
CHOI, YONGHO,JEONG, DARAE,KIM, JUNSEOK,KIM, YOUNG ROCK,LEE, SEUNGGYU,SEO, SEUNGSUK,YOO, MINHYUN Korean Mathematical Society 2015 대한수학회논문집 Vol.30 No.3
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.