DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Choe, Geon Ho | - |
dc.contributor.advisor | 최건호 | - |
dc.contributor.author | Park, Jong Jun | - |
dc.date.accessioned | 2019-08-25T02:40:46Z | - |
dc.date.available | 2019-08-25T02:40:46Z | - |
dc.date.issued | 2018 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=734342&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/264948 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 수리과학과, 2018.2,[iii, 53 p. :] | - |
dc.description.abstract | The dissertation contains three main subjects about a new variance reduction, pricing method and model for option and insurance. First, a new variance reduction method for option pricing is introduced which is more efficient than antithetic variates method. Next, a new method for pricing insurance derivative and arithmetic Asian option is suggested in the jump CIR diffusion process using joint Laplace transform. Last, a new contagion model is constructed using Eisenberg-Noe model which is used for obtaining clearing payments. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Variance reduction method▼asimplex▼aHermite polynomial▼aLaplace transform▼ajump diffusion CIR process▼ainsurance▼areinsurance▼aarithmetic Asian option▼aEisenberg-Noe model▼acontagion model | - |
dc.subject | 분산 축소 기법▼a단체▼a에르미트 다항식▼a라플라스 변환▼a점프 CIR 확산과정▼a보험▼a재보험▼a산술 아시안 옵션▼a아이젠버그-노이 모형▼a전염 모형 | - |
dc.title | (A) new variance reduction, pricing method and model for option and insurance | - |
dc.title.alternative | 옵션 및 보험을 위한 새로운 분산 축소 기법, 가격 계산 방법 및 모형 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :수리과학과, | - |
dc.contributor.alternativeauthor | 박종준 | - |
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