내재변동성의 구간을 이용한 델타 헤징 실증 분석 = An empirical study on delta hedging with the regimes of volatility

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Advisors
김수용researcherKim, Soo-Yong
Description
한국과학기술원 : 물리학과,
Publisher
한국과학기술원
Issue Date
2012
Identifier
488101/325007  / 020108073
Language
kor
Description

한국과학기술원 : 물리학과, 한국과학기술원 : 물리학과, 2012.2, [ iv, 43 p. ]

Keywords

델타 헤징; 내재변동성; delta hedge; regimes of volatility; implied volatility; Derman; 더만

URI
http://hdl.handle.net/10203/182356
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=488101&flag=dissertation
Appears in Collection
PH-Theses_Ph.D.(박사논문)
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