DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choi, U-Jin | - |
dc.contributor.advisor | 최우진 | - |
dc.contributor.author | Oh, Dam-Won | - |
dc.contributor.author | 오담원 | - |
dc.date.accessioned | 2011-12-14T04:55:49Z | - |
dc.date.available | 2011-12-14T04:55:49Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=264293&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/42155 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수학전공, 2007.2, [ v, 21 p. ] | - |
dc.description.abstract | Spread options and Margrabe options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. And they are options that derive its value from the difference between the prices of two or more assets. In the thesis, we explain Itô`s lemma and Black Scholes equation for introducing European options, Spread options and Margrabe options. Furthermore we calculate Spread options and Margrabe options using Monte Carlo Simulation which provides a simple and °exible method and can deal easily with multiple random factors. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Monte Carlo Simulation | - |
dc.subject | 몬테카를로 방법 | - |
dc.title | Valuing spread options and margrabe options using Monte Carlo simulation | - |
dc.title.alternative | Monte Carlo simulation을 이용한 스프레드 옵션과 마그레이브 옵션의 가격결정 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 264293/325007 | - |
dc.description.department | 한국과학기술원 : 수학전공, | - |
dc.identifier.uid | 020053348 | - |
dc.contributor.localauthor | Choi, U-Jin | - |
dc.contributor.localauthor | 최우진 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.