Variance reductions using the control variates in the monte carlo simulation : focused on the valuation of ELS = Control Variate 을 이용한 Monte Carlo Simulation 분산감소에 관한 연구 : ELS가치분석을 중심으로 focused on the valuation of ELS

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Equity Linked Securities is an over-the-counter derivative which is introduced in Korea at 2003 and actively traded among investors. Since various option features are embedded in a single ELS, they have a variety of structure, according to the embedded option feature designed for the needs of investors. The purpose of this thesis is to find a reasonable estimate of price, especially step-down type, and is to reduce its variance, by choosing a control variate which has an analytic expectation. The variance of Monte Carlo Simulation using control variate is compared to crude simulation and the variance reduction rate is evaluated. In addition, through tables and graphs, we confirm the fact that variance reduction rate grows up as the rate of an underlying stock price to the reference price increases, or as the time is close to maturity.
Advisors
Kang, Wan-Moresearcher강완모researcher
Description
한국과학기술원 : 수리과학과,
Publisher
한국과학기술원
Issue Date
2010
Identifier
419024/325007  / 020083432
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 수리과학과, 2010.2 , [ v, 18 p. ]

Keywords

Monte Carlo Simulation; Control Variates; Variance Reduction; ELS Valuation; 주가연계증권 가치분석; 몬테카를로 시뮬레이션; 제어변량; 분산감소

URI
http://hdl.handle.net/10203/42225
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=419024&flag=dissertation
Appears in Collection
MA-Theses_Master(석사논문)
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