GARCH intensity model and new methods of option pricing = GARCH 심도 모형과 새로운 옵션 가격 계산 방법에 대한 연구

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Advisors
Choe, Geon-Horesearcher최건호
Description
한국과학기술원 : 수리과학과,
Publisher
한국과학기술원
Issue Date
2012
Identifier
487107/325007  / 020085130
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2012.2, [ vi, 73 p. ]

Keywords

conditional asymmetry; GARCH; tail extremeness; quadratic variation; GARCH; 조건부 비대칭; 꼬리 극단성; 이차변분; 위험중립형 추정; risk-neutral estimation

URI
http://hdl.handle.net/10203/181556
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=487107&flag=dissertation
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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