불연속 수익 구조를 가지는 옵션의 안정적인 민감도 계산을 위한 Thick-path 몬테칼로 방법Thick-path monte carlo method for stable greeks of derivatives with discontinuous payoffs

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dc.contributor.advisor신하용-
dc.contributor.advisorShin, Ha Yong-
dc.contributor.author이명우-
dc.contributor.authorMYUNG WOO LEE-
dc.date.accessioned2013-09-12T05:57:52Z-
dc.date.available2013-09-12T05:57:52Z-
dc.date.issued2011-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=482758&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/182503-
dc.description학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2011.8, [ iv, 34 p. ]-
dc.languagekor -
dc.publisher한국과학기술원-
dc.subject몬테칼로 시뮬레이션-
dc.subject불연속 수익 구조-
dc.subject옵션의 가격계산-
dc.subjectMonte Carlo Simulation-
dc.subjectDiscontinuous payoff-
dc.subjectOption pricing-
dc.subjectGreeks-
dc.subject옵션의 민간도-
dc.title불연속 수익 구조를 가지는 옵션의 안정적인 민감도 계산을 위한 Thick-path 몬테칼로 방법-
dc.title.alternativeThick-path monte carlo method for stable greeks of derivatives with discontinuous payoffs-
dc.typeThesis(Master)-
dc.identifier.CNRN482758/325007 -
dc.description.department한국과학기술원 : 산업및시스템공학과, -
dc.identifier.uid020094235-
dc.contributor.localauthor신하용-
dc.contributor.localauthorShin, Ha Yong-
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IE-Theses_Master(석사논문)
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