Option pricing with self-exciting jump process자기 여기 도약 과정을 이용한 옵션계약의 가치계산
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Hyun, Jung-Soon | - |
| dc.contributor.advisor | 현정순 | - |
| dc.contributor.author | Choi, Gyu-Seok | - |
| dc.contributor.author | 최규석 | - |
| dc.date.accessioned | 2013-09-12T02:27:56Z | - |
| dc.date.available | 2013-09-12T02:27:56Z | - |
| dc.date.issued | 2012 | - |
| dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=488891&flag=dissertation | - |
| dc.identifier.uri | http://hdl.handle.net/10203/181404 | - |
| dc.description | 학위논문(석사) - 한국과학기술원 : 금융전문대학원, 2012.2, [ iv, 26 p. ] | - |
| dc.language | eng | - |
| dc.publisher | 한국과학기술원 | - |
| dc.subject | Hawkes process | - |
| dc.subject | Jump process | - |
| dc.subject | Option pricing | - |
| dc.subject | Monte Carlo simulation | - |
| dc.subject | 점프 프로세스 | - |
| dc.subject | 혹스 프로세스 | - |
| dc.subject | 옵션 가치계산 | - |
| dc.subject | 몬테카를로 시물레이션 | - |
| dc.subject | 변동성 스마일 | - |
| dc.subject | Volatility smile | - |
| dc.title | Option pricing with self-exciting jump process | - |
| dc.title.alternative | 자기 여기 도약 과정을 이용한 옵션계약의 가치계산 | - |
| dc.type | Thesis(Master) | - |
| dc.identifier.CNRN | 488891/325007 | - |
| dc.description.department | 한국과학기술원 : 금융전문대학원, | - |
| dc.identifier.uid | 020104071 | - |
| dc.contributor.localauthor | Hyun, Jung-Soon | - |
| dc.contributor.localauthor | 현정순 | - |
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