Valuation of American options under time-varying volatility시간 의존 변동성 하에서의 미국식 옵션의 가치평가

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dc.contributor.advisorKim, In-Joon-
dc.contributor.advisor김인준-
dc.contributor.authorLim, Seong-Yeon-
dc.contributor.author임성연-
dc.date.accessioned2011-12-27T04:43:20Z-
dc.date.available2011-12-27T04:43:20Z-
dc.date.issued1998-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=135186&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/53952-
dc.description학위논문(석사) - 한국과학기술원 : 테크노경영대학원, 1998.2, [ [42] p. ]-
dc.description.abstractBlack and Scholes assumed constant variance rate of the underlying asset. But there are evidences that the volatilities change over time. So it would be appropriate to consider option values when the volatility is time-varying. When volatility is a deterministic function of time, European option price depends only on the average volatility until maturity. But American option prices are not same when volatility follows different path with the same time average. When volatility is decreasing over time, the American option value is higher than the value with constant volatility, and option value with increasing volatility us lower than the option value with constant volatility. These results are due to the early exercise feature of the American options. When the volatility is decreasing, there seem to be much chance of early-exercise.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectOption valuation-
dc.subjectAmerican option-
dc.subjectTime-varying volatility-
dc.subjectNumerical method-
dc.subject수치해법-
dc.subject옵션 가격평가-
dc.subject미국식 옵션-
dc.subject시간 의존 변동성-
dc.titleValuation of American options under time-varying volatility-
dc.title.alternative시간 의존 변동성 하에서의 미국식 옵션의 가치평가-
dc.typeThesis(Master)-
dc.identifier.CNRN135186/325007-
dc.description.department한국과학기술원 : 테크노경영대학원, -
dc.identifier.uid000963524-
dc.contributor.localauthorKim, In-Joon-
dc.contributor.localauthor김인준-
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