DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choi, U-Jin | - |
dc.contributor.advisor | 최우진 | - |
dc.contributor.author | Kim, Kwang-Moon | - |
dc.contributor.author | 김광문 | - |
dc.date.accessioned | 2011-12-14T04:40:45Z | - |
dc.date.available | 2011-12-14T04:40:45Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=418767&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/41933 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 수리과학과, 2010.2, [ vii, 59 p. ] | - |
dc.description.abstract | We consider an all or nothing investment problem in finite time horizon when the investment opportunity set is changing stochastically over time, especially under a Markovian regime-switching environment, and a decision maker faces ambiguity on parameters governing profit flow dynamics of the investment. We apply $\alpha$-Maxmin Expected Utility($\alpha$-MEU) preferences to involve subjective attitude toward ambiguity and provide semi-explicit formulas for the expected value of investment and the present threshold value of the profit flow. Numerical results show that the threshold value depends on business cycle. A paramount parameter in investment decision making is related to a investment period. When investment period is short, it is important to know whether it is a recession or an expansion. With long investment period, the subjective attitude toward ambiguity make a huge difference in decision making. Furthermore, the tendency of ambiguity seeking is mitigated by introducing the regime-switching environment. Also we study an irreversible investment problem, i.e. optimal stopping time problem, under ambiguity and regime-switching environment. We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion, which is widely quoted in fixed income markets. The maximum error in the volatility is in the order of $10^{-10}$ of the given option price and much smaller for the near-the-money options. Thus our approximation can be used as an exact solution without further refinements of iterative methods. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | 산술 브라운 운동 | - |
dc.subject | 국면 전환 | - |
dc.subject | 내재 변동성 | - |
dc.subject | 비가역적 투자 | - |
dc.subject | 모델 불확실성 | - |
dc.subject | Arithmetic Brownian Motion | - |
dc.subject | Implied Volatility | - |
dc.subject | Regime-switching | - |
dc.subject | Model Uncertainty | - |
dc.subject | Irreversible Investment | - |
dc.title | Investment problem with model uncertainty and a new approach to implied volatility | - |
dc.title.alternative | 모델 불확실성을 고려한 투자와 내재 변동성에 대한 새로운 접근 방법 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 418767/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020065805 | - |
dc.contributor.localauthor | Choi, U-Jin | - |
dc.contributor.localauthor | 최우진 | - |
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