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아메리칸 옵션에 대한 효율적인 계산 방법 탐구 및 헤지 전략 고찰
宋映曉 弘益大學校 東北亞企業經營硏究所 2005 企業經營硏究 Vol.2 No.-
This article presents 4 kinds of the numerical computing methods which are commonly used in valuation of American options: Integral Representation Method, Finite Difference Method, Method of Lines with Invariant Imbedding and Extended Binomial Method. In this article we propose two efficient numerical methods: Method of Lines with Invariant Imbedding using Analytic Representation and Partial Successive Overrelaxation with Linear Complementarity Formulation. Their efficiency of derivation of Hedging parameters are also investigated.
송영효 홍익대학교 산업기술연구소 1998 産業技術 Vol.8 No.-
In order to valuate American options, the speed and accuracy are needed as valuation criteria. The purpose of this paper is to present two fundamental considerations in the evaluation of efficient numerical methods which meet the speed and accuracy for American options. Before considering the speed and accuracy, the consistency and stability condition must be checked and satisfied. After that the speed and accuracy can be considered as efficient criteria. This article presents 6 kinds of the numerical computing methods which are commonly used in valuation of American options; Analytic Method Integral Representation Method, Dynamic Programming Method, Finite Difference Method, Method of Lines with Invariant Imbedding and Quadratic Approximation Method The consistency and stability of all the above numerical methods are investigated. The weaknesses and basic characteristics of these 6 numerical methods are also presented In addition an efficient numerical method the method of lines with quadratic approximation which satisfies the consistency and stability condition is proposed.
리얼옵션을 이용한 중소기업글로벌 아웃소싱 결정 모델 수립
송영효 홍익대학교 동북아연구소 2006 企業經營硏究 Vol.3 No.-
This article presents a development of global outsourcing decision models for small-to-medium sized companies using real options In this article we propose a step-by-step real option identification method on a type of uncertainty. We also propose a two-dimensional positioning map for outsourcing using process complexity vs. strategic importance.
송영효,선지웅 한국정보사회진흥원 2002 정보화정책 Vol.9 No.4
우정 정보시스템은 경영전략 차원의 통합보다는 단위 업무의 개선을 위한 전산화 차원에서 추진되어 전반적인 통합성은 매우 취약하며, 인터넷, 전자정부 등 최근의 정보환경 발전방향과도 상당한 괴리가 발생하고 있다. 본 논문은 우정 정보시스템의 통합성 및 고도화를 실현하기 위한 통합플랫폼 모형을 제시하였다. 먼저 우정 정보시스템의 현황 파악 및 개선을 위한 요구분석을 수행하고 우정사업에 특화된 통합플랫폼 모형을 도출하였으며, 통합플랫폼의 성공적인 구축을 위한 실행 전략도 함게 제시하였다. 본 연구에 제시된 통합 플랫폼 모형을 토대로 우정 정보화 과제들이 추진된다면 우정사업 관련 정보시스템 구축의 통합성 및 일관성을 실현할 수 있을 것으로 기대된다.
데이터 웨어하우징을 이용한 금융기관의 데이터베이스 마케팅 전략 고찰
송영효 홍익대학교 산업기술연구소 1999 産業技術 Vol.9 No.-
In this study, we propose a strategy of database marketing using data warehousing which supports market segmentation and can provide a cost effective marketing channel between the customers and financial institutions. Data warehouse is a database that receives data copies from various external data sources and current legacy systems. Data warehouse is optimized for enterprise decision supports by using data mining or on-line analytical processing. Database marketing based on data warehouse can be a strategic solution in competitive financial industry. This article surveys current database marketing strategies of successful G7 financial institutions and recommends useful data base marketing steps for Korean financial institutions.
宋暎曉 홍익대학교 산업기술연구소 2001 産業技術 Vol.11 No.-
Measures of volatility using Generalized Autoregressive Conditional Heteroskedastic model (GARCH) and a Moving Average model are compared. In this article, we investigate both the informational content and the predictive power of volatility using GARCH model and a moving average model. The article finds that moving average model is outperformed by GARCH model in information contents. However, GARCH model is outperformed by a moving average model in the predictive power of volatility. Volatility using GARCH is little biased compared to the volatility using a moving average model. Volatility using GARCH, however, also appeared to be biased volatility forecasts. Several useful hedging methods using measures of volatility estimates in Won/Dollar currency market are also proposed.
宋映曉,李漢德 홍익대학교 산업기술연구소 2003 産業技術 Vol.13 No.-
When construction-related accidents happen, it takes a lot of time and costs to locate and allocate responsibilities among construction-related parties. In many cases, negligence of contractors, architects and construction supervisors is combined and it is very hard to clarify who is responsible and how much they are responsible. This kind of the dispute often hinders swift indemnification of injured parties and recovery of damaged works. This study proposes activation of construction management(CM) and the introduction of construction management liability insurance to facilitate to repair damaged works and indemnify injured parties resulting from construction accidents. It should be mandatory for construction managers to buy construction management liability insurance in public construction works. Ultimately, construction management liability insurance should be applied to private construction works.
국내 주가지수 옵션시장에서의 변동성을 이용한 옵션 거래 전략 연구
宋映曉 홍익대학교 동북아기업경영연구소 2004 企業經營硏究 Vol.1 No.-
In this article we propose various methods of recovering the risk-neutral asset price processes from the current market prices of options on stock price index including those of Derman and Kani, and Barle and Cakici, and Monte-carlo simulations based on Milstein scheme. We also discuss their respective benefits as well as drawbacks. A comparison method using Monte Carlo experiments which constructs the state-price density (SPD) is also suggested. Based on this comparison, two trading strategies, skewness and kurtosis trades using three estimated SPDs, two SPDs from implied binomial trees (IBT) and a nonparametric estimation of SPD from historical time series in Korea index futures and index options market is also investigated.