Option pricing in Korean stock market한국 주식 시장에서의 옵션 가격 결정
Option pricing is one of the most important in the option. There are several methods to estimate the option price. First, we explain the Black-Scholes equation. Also we review famous methods(explicit finite difference method, implicit finite difference method, and Monte Carlo simulation) to estimate option price. Employing above methods, we estimate the value of KOSPI 200 index option, and compare with the real price.
- Advisors
- Choi, U-Jinresearcher; 최우진researcher
- Description
- 한국과학기술원 : 수학전공,
- Publisher
- 한국과학기술원
- Issue Date
- 2002
- Identifier
- 177030/325007 / 020013378
- Language
- eng
- Description
학위논문(석사) - 한국과학기술원 : 수학전공, 2002.8, [ v, 26 p. ]
- Keywords
option; 옵션
- Appears in Collection
- MA-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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