DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choi, U-Jin | - |
dc.contributor.advisor | 최우진 | - |
dc.contributor.author | Lee, Sook-Kyoung | - |
dc.contributor.author | 이숙경 | - |
dc.date.accessioned | 2011-12-14T04:55:10Z | - |
dc.date.available | 2011-12-14T04:55:10Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=240351&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/42111 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수학전공, 2004.8, [ iii, 27 p. ] | - |
dc.description.abstract | While American calls on stocks may be valued as European call, there is no completely explicit exact solution for the values of American puts. We use a technique called randomizaton to value American put option,which is suggested by Carr. This technique yields a new explicit approximation to value American option values in the Black-Scholes model.Unfortunatly, In Korean security market, there is no American Puts.In this thesis,We assume the existence of American Puts of KOSPI 200 Index, and calculate its values by using Carr``s Method The volatility of KOSPI 200 index process is obtained by EWMA | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | PRICING OF AMERICAN PUT OF KOSPI 200 INDEX USING CARR``S METHOD | - |
dc.subject | CARR방법을 이용한 KOSPI 200지수에 대한 미국식 풋 옵션의 가격결정 | - |
dc.subject | WARPING SYMMETRY | - |
dc.title | Pricing of american put of KOSPI 200 index using carr's method | - |
dc.title.alternative | Carr의 방법을 이용한 KOSPI 200 지수에 대한 미국식 풋 옵션의 가격결정 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 240351/325007 | - |
dc.description.department | 한국과학기술원 : 수학전공, | - |
dc.identifier.uid | 020033466 | - |
dc.contributor.localauthor | Choi, U-Jin | - |
dc.contributor.localauthor | 최우진 | - |
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