(A) new variance reduction, pricing method and model for option and insurance = 옵션 및 보험을 위한 새로운 분산 축소 기법, 가격 계산 방법 및 모형

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The dissertation contains three main subjects about a new variance reduction, pricing method and model for option and insurance. First, a new variance reduction method for option pricing is introduced which is more efficient than antithetic variates method. Next, a new method for pricing insurance derivative and arithmetic Asian option is suggested in the jump CIR diffusion process using joint Laplace transform. Last, a new contagion model is constructed using Eisenberg-Noe model which is used for obtaining clearing payments.
Advisors
Choe, Geon Horesearcher최건호researcher
Description
한국과학기술원 :수리과학과,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2018.2,[iii, 53 p. :]

Keywords

Variance reduction method▼asimplex▼aHermite polynomial▼aLaplace transform▼ajump diffusion CIR process▼ainsurance▼areinsurance▼aarithmetic Asian option▼aEisenberg-Noe model▼acontagion model; 분산 축소 기법▼a단체▼a에르미트 다항식▼a라플라스 변환▼a점프 CIR 확산과정▼a보험▼a재보험▼a산술 아시안 옵션▼a아이젠버그-노이 모형▼a전염 모형

URI
http://hdl.handle.net/10203/264948
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=734342&flag=dissertation
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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