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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Journal of the Korea Society for Industrial and Applied Mathematics
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The Korean Society for Industrial and Applied Mathematics
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Volume & Issues
Volume 15, Issue 4 - Dec 2011
Volume 15, Issue 3 - Sep 2011
Volume 15, Issue 2 - Jun 2011
Volume 15, Issue 1 - Mar 2011
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A COST-EFFECTIVE MODIFICATION OF THE TRINOMIAL METHOD FOR OPTION PRICING
Moon, Kyoung-Sook ; Kim, Hong-Joong ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 1~17
A new method for option pricing based on the trinomial tree method is introduced. The new method calculates the local average of option prices around a node at each time, instead of computing prices at each node of the trinomial tree. Local averaging has a smoothing effect to reduce oscillations of the tree method and to speed up the convergence. The option price and the hedging parameters are then obtained by the compact scheme and the Richardson extrapolation. Computational results for the valuation of European and American vanilla and barrier options show superiority of the proposed scheme to several existing tree methods.
HIGH-ORDER NEWTON-KRYLOV METHODS TO SOLVE SYSTEMS OF NONLINEAR EQUATIONS
Darvishi, M.T. ; Shin, Byeong-Chun ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 19~30
In , we compared the Newton-Krylov method and some high-order methods to solve nonlinear systems. In this paper, we propose high-order Newton-Krylov methods combining the Newton-Krylov method with some high-order iterative methods to solve systems of nonlinear equations. We provide some numerical experiments including comparisons of CPU time and iteration numbers of the proposed high-order Newton-Krylov methods for several nonlinear systems.
A SNOWBALL CURRENCY OPTION
Shim, Gyoo-Cheol ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 31~41
I introduce a derivative called "Snowball Currency Option" or "USDKRWSnowball Extendible At Expiry KO" which was traded once in the over-the-counter market in Korea. A snowball currency option consists of a series of maturities the payoffs at which are like those of a long position in a put option and two short position in an otherwise identical call. The strike price at each maturity depends on the exchange rate and the previous strike price so that the strike prices are random and path-dependent, which makes it difficult to find a closed form solution of the value of a snowball currency option. I analyze the payoff structure of a snowball currency option and derive an upper and a lower boundaries of the value of it in a simplified model. Furthermore, I derive a pricing formula using integral in the simplified model.
LIOUVILLE THEOREMS OF SLOW DIFFUSION DIFFERENTIAL INEQUALITIES WITH VARIABLE COEFFICIENTS IN CONE
Fang, Zhong Bo ; Fu, Chao ; Zhang, Linjie ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 43~55
We here investigate the Liouville type theorems of slow diffusion differential inequality and its coupled system with variable coefficients in cone. First, we give the definition of global weak solution, and then we establish the universal estimate (does not depend on the initial value) of solution by constructing test function. At last, we obtain the nonexistence of non-negative non-trivial global weak solution within the appropriate critical exponent. The main feature of this method is that we need not use comparison theorem or the maximum principle.
THE EFFECTS OF MESH STYLE ON THE FINITE ELEMENT ANALYSIS FOR ARTIFICIAL HIP JOINTS
Shin, Jae-Min ; Lee, Dong-Sun ; Kim, Sung-Ki ; Jeong, Da-Rae ; Lee, Hyun-Geun ; Kim, Jun-Seok ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 57~65
In this paper, a good quality mesh generation for the finite element method is investigated for artificial hip joint simulations. In general, bad meshes with a large aspect ratio or mixed elements can give rise to excessively long computational running times and extremely high errors. Typically, hexahedral elements outperform tetrahedral elements during three-dimensional contact analysis using the finite element method. Therefore, it is essential to mesh biologic structures with hexahedral elements. Four meshing schemes for the finite element analysis of an artificial hip joint are presented and compared: (1) tetrahedral elements, (2) wedge and hexahedral elements, (3) open cubic box hexahedral elements, and (4) proposed hexahedral elements. The proposed meshing scheme is to partition a part before seeding so that we have a high quality three-dimensional mesh which consists of only hexahedral elements. The von Mises stress distributions were obtained and analyzed. We also performed mesh refinement convergence tests for all four cases.
AN ACCURATE AND EFFICIENT CALCULATION OF HIGH ENTHALPY FLOWS USING A HIGH ORDER NEW LIMITING PROCESS
Noh, Sung-Jun ; Lee, Kyung-Rock ; Park, Jung-Ho ; Kim, Kyu-Hong ;
Journal of the Korea Society for Industrial and Applied Mathematics, volume 15, issue 1, 2011, Pages 67~82
Calculation of accurate wall heat flux for high enthalpy flows requires a dense grid system, which leads to significantly large computational time. A high-order scheme can improve the efficiency of calculation because wall heat flux can be obtained accurately even with a relatively coarse grid system. However, conventional high order schemes have some drawbacks such as oscillations near a discontinuity and instability in multi-dimensional problem. To resolve these problems, enhanced Multi-dimensional Limiting Process(e-MLP) was applied as a high-order scheme. It could provide robust and accurate solutions with high order accuracy in calculation of high enthalpy flows within a short time. We could confirm the efficiency of the high order e-MLP scheme through grid convergence tests with different grid densities in a hypersonic blunt nose problem.