The implied probability density of an asset price from option prices옵션 가격에 내재된 기초 자산의 확률밀도함수

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dc.contributor.advisorChoe, Geon-Ho-
dc.contributor.advisor최건호-
dc.contributor.authorJeong, Myeong-Geun-
dc.contributor.author정명근-
dc.date.accessioned2011-12-14T04:40:42Z-
dc.date.available2011-12-14T04:40:42Z-
dc.date.issued2010-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=418693&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/41930-
dc.description학위논문(박사) - 한국과학기술원 : 수리과학과, 2010.2, [ vi, 50 p. ]-
dc.description.abstractWhile the option implied distribution obtained by the maximum entropy method is quite efficient, it has a drawback that the distribution may not exist in exotic options. Therefore we propose a modified option implied distribution and apply to binary options, European options and multi-asset options. Also we suggest a method that find the Lagrange multipliers sequentially without finding the Jacobian matrix. Furthermore the maximum entropy method which is one of non-parametric methods is used to estimate the probability of default. From binary option prices as the constraints, we explicitly find it while Capuano(2008) suggests numerical computation from European call option prices.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectProbability of Default-
dc.subjectLagrange Multiplier Method-
dc.subjectExotic Option-
dc.subjectEstimation of Risk-Neutral Density-
dc.subjectMaximum Entropy-
dc.subject부도 확률-
dc.subject라그랑즈 승수법-
dc.subject이색 옵션-
dc.subject위험 중립 확률 추정-
dc.subject최대 엔트로피-
dc.titleThe implied probability density of an asset price from option prices-
dc.title.alternative옵션 가격에 내재된 기초 자산의 확률밀도함수-
dc.typeThesis(Ph.D)-
dc.identifier.CNRN418693/325007 -
dc.description.department한국과학기술원 : 수리과학과, -
dc.identifier.uid020055135-
dc.contributor.localauthorChoe, Geon-Ho-
dc.contributor.localauthor최건호-
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