Semimartingale approach : pricing asian options in a levy model세미마팅게일을 통한 접근 : 레비 모델에서의 아시안 옵션의 가격 결정

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dc.contributor.advisorChoi, U-Jin-
dc.contributor.advisor최우진-
dc.contributor.authorKim, Seong-Hak-
dc.contributor.author김성학-
dc.date.accessioned2011-12-14T04:56:42Z-
dc.date.available2011-12-14T04:56:42Z-
dc.date.issued2009-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=327290&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/42214-
dc.description학위논문(석사) - 한국과학기술원 : 수리과학과, 2009. 8., [ iii, 24 p. ]-
dc.description.abstractIn this paper, we present the definition of semimartingale and give the treatment of stochastic integration as a Riemann-type limit of sums. This approach is not like the classical one, which defines a semimartingale to be the sum of a local martingale and a finite variation process. We also apply the theory of stochastic integration to obtain the integro-differential equation for the value of an Asian option when the stock price is driven by a $L\grave{e} vy$ process. Here we use the technique of change of $num\grave{e} raire$ used frequently in the literature to remove the path dependency in option pricing problem.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectSemimartingale-
dc.subjectAsian option-
dc.subjectLevy process-
dc.subjectIntegro-differential equation-
dc.subject세미마팅게일-
dc.subject아시안 옵션-
dc.subject레비 과정-
dc.subject적분-미분 방정식-
dc.subjectSemimartingale-
dc.subjectAsian option-
dc.subjectLevy process-
dc.subjectIntegro-differential equation-
dc.subject세미마팅게일-
dc.subject아시안 옵션-
dc.subject레비 과정-
dc.subject적분-미분 방정식-
dc.titleSemimartingale approach-
dc.title.alternative세미마팅게일을 통한 접근 : 레비 모델에서의 아시안 옵션의 가격 결정-
dc.typeThesis(Master)-
dc.identifier.CNRN327290/325007 -
dc.description.department한국과학기술원 : 수리과학과, -
dc.identifier.uid020053094-
dc.contributor.localauthorChoi, U-Jin-
dc.contributor.localauthor최우진-
dc.title.subtitlepricing asian options in a levy model-
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