Gamma-adjusted VaR에 대한 연구 : KOSPI200 call 옵션과 3년 만기 회사채를 중심으로A study on the gamma-adjusted VaR concerned with KOSPI200 call option & 3 year corporate bond
- Advisors
- 김동석researcher; Kim, Tong-Sukresearcher
- Description
- 한국과학기술원 : 테크노경영대학원,
- Publisher
- 한국과학기술원
- Issue Date
- 1999
- Identifier
- 151298/325007 / 000973180
- Language
- kor
- Description
학위논문(석사) - 한국과학기술원 : 테크노경영대학원, 1999.2, [ iii, 46 p. ]
- Keywords
Gamma-adjusted delta; Percentile-adjusted delta gamma; Monte Carlo delta gamma; Bootsrap delta gamma
- Appears in Collection
- KGSM-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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