Levy feller 분포함수 응용으로부터, KOSPI 지수 수익률 분포함수 도출을 통한 지수 option 가격 책정 = Calculation of KOSPI index option price from derivation of index return probability distribution using Levy Feller distribution

Advisors
고인규researcherKoh, In-Gyuresearcher
Publisher
한국과학기술원
Issue Date
2002
Identifier
173529/325007 / 020003244
Language
kor
Description

학위논문(석사) - 한국과학기술원 : 물리학과, 2002, [ [ii], 50 p. ]

Keywords

Levy 분포; AR model; GARCH model; KOSPI index option; Probability distribution; Levy statistics; AR 모형; 확률 분포; 주가지수 옵션; GARCH 모형

URI
http://hdl.handle.net/10203/48592
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=173529&flag=t
Appears in Collection
PH-Theses_Master(석사논문)
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