DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choi, U-Jin | - |
dc.contributor.advisor | 최우진 | - |
dc.contributor.author | Kim, Seong-Hak | - |
dc.contributor.author | 김성학 | - |
dc.date.accessioned | 2011-12-14T04:56:42Z | - |
dc.date.available | 2011-12-14T04:56:42Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=327290&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/42214 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2009. 8., [ iii, 24 p. ] | - |
dc.description.abstract | In 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.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Semimartingale | - |
dc.subject | Asian option | - |
dc.subject | Levy process | - |
dc.subject | Integro-differential equation | - |
dc.subject | 세미마팅게일 | - |
dc.subject | 아시안 옵션 | - |
dc.subject | 레비 과정 | - |
dc.subject | 적분-미분 방정식 | - |
dc.subject | Semimartingale | - |
dc.subject | Asian option | - |
dc.subject | Levy process | - |
dc.subject | Integro-differential equation | - |
dc.subject | 세미마팅게일 | - |
dc.subject | 아시안 옵션 | - |
dc.subject | 레비 과정 | - |
dc.subject | 적분-미분 방정식 | - |
dc.title | Semimartingale approach | - |
dc.title.alternative | 세미마팅게일을 통한 접근 : 레비 모델에서의 아시안 옵션의 가격 결정 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 327290/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020053094 | - |
dc.contributor.localauthor | Choi, U-Jin | - |
dc.contributor.localauthor | 최우진 | - |
dc.title.subtitle | pricing asian options in a levy model | - |
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