GARCH intensity model and new methods of option pricingGARCH 심도 모형과 새로운 옵션 가격 계산 방법에 대한 연구
- Advisors
- Choe, Geon-Horesearcher; 최건호
- 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
- Appears in Collection
- MA-Theses_Ph.D.(박사논문)
- Files in This Item
- There are no files associated with this item.
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