DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Kyoung-Kuk | - |
dc.contributor.advisor | 김경국 | - |
dc.contributor.author | Lim, Dong-Young | - |
dc.contributor.author | 임동영 | - |
dc.date.accessioned | 2015-04-29 | - |
dc.date.available | 2015-04-29 | - |
dc.date.issued | 2014 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=568919&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/198098 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2014.2, [ iv, 40 p. ] | - |
dc.description.abstract | A Parisian option is a variant of barrier option such that its payment is activated or deactivated only if the underlying asset has stayed below or above over a certain amount of time specified in the contract. In this paper, we provide the formulas for the sensitivities (greeks) using Laplace transform. In particular, the theta is important to understand the behavior of Parisian options and is one of reasons that dynamic hedging fails. This paper also propose static hedging strategy by decomposing a Parisian option into certain derivatives which are statically hedged. Furthermore, we compare the hedging performance of dynamic hedging and static hedging. aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Parisian option | - |
dc.subject | 배리어 옵션 | - |
dc.subject | 민감도 | - |
dc.subject | 정적 헤징 | - |
dc.subject | 헤징 | - |
dc.subject | 파리지안 옵션 | - |
dc.subject | hedging | - |
dc.subject | static hedging | - |
dc.subject | greeks | - |
dc.subject | barrier option | - |
dc.title | Pricing and hedging parisian options | - |
dc.title.alternative | 파리지안 옵션의 가격결정과 헤징 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 568919/325007 | - |
dc.description.department | 한국과학기술원 : 산업및시스템공학과, | - |
dc.identifier.uid | 020123572 | - |
dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
dc.contributor.localauthor | 김경국 | - |
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