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

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dc.contributor.advisorKang, Wan-Mo-
dc.contributor.advisor강완모-
dc.contributor.authorLee, Hae-Jin-
dc.contributor.author이혜진-
dc.date.accessioned2011-12-14T04:56:51Z-
dc.date.available2011-12-14T04:56:51Z-
dc.date.issued2010-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=419024&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/42225-
dc.description학위논문(석사) - 한국과학기술원 : 수리과학과, 2010.2 , [ v, 18 p. ]-
dc.description.abstractEquity 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.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectMonte Carlo Simulation-
dc.subjectControl Variates-
dc.subjectVariance Reduction-
dc.subjectELS Valuation-
dc.subject주가연계증권 가치분석-
dc.subject몬테카를로 시뮬레이션-
dc.subject제어변량-
dc.subject분산감소-
dc.titleVariance reductions using the control variates in the monte carlo simulation-
dc.title.alternativeControl Variate 을 이용한 Monte Carlo Simulation 분산감소에 관한 연구 : ELS가치분석을 중심으로-
dc.typeThesis(Master)-
dc.identifier.CNRN419024/325007 -
dc.description.department한국과학기술원 : 수리과학과, -
dc.identifier.uid020083432-
dc.contributor.localauthorKang, Wan-Mo-
dc.contributor.localauthor강완모-
dc.title.subtitlefocused on the valuation of ELS-
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MA-Theses_Master(석사논문)
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