DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choe, Geon-Ho | - |
dc.contributor.advisor | 최건호 | - |
dc.contributor.author | Yoon, Seong-Jun | - |
dc.contributor.author | 윤성준 | - |
dc.date.accessioned | 2013-09-12T02:32:50Z | - |
dc.date.available | 2013-09-12T02:32:50Z | - |
dc.date.issued | 2013 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=515072&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/181571 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2013.2, [ v, 30 p. ] | - |
dc.description.abstract | The Black-Scholes-Merton model is one of the most popular asset price movement model. Because it derives a simple closed-form solution of European option price, this model has received much attention from academics and practitioners. However the volatility smile phenomenon shows that the real market doesn`t follow the Black-Scholes-Merton model. In order to make up for the critical drawbacks, the volatility should have a more complex form and the asset price movement should explain some extreme events such as collapse and sudden. In this paper we study the option pricing under the stochastic volatility model and the jump diffusion model. In particular, we study the Heston`s stochastic volatility model and the Merton`s jump diffusion model. And we will add these models to obtain more accurate price of the European call option. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Heston | - |
dc.subject | 헤스톤 | - |
dc.subject | 도약 확산 | - |
dc.subject | jump diffusion | - |
dc.title | Analysis and pricing of call option under the Heston model with the jump diffusion process | - |
dc.title.alternative | 도약 확산 과정을 가지는 헤스톤 모델을 이용한 콜 옵션 분석 및 가격 계산 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 515072/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020113395 | - |
dc.contributor.localauthor | Choe, Geon-Ho | - |
dc.contributor.localauthor | 최건호 | - |
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