KOSP200 주가지수 옵션시장에서의 변동성 거래 유용성에 관한 연구 = A study on the effectiveness of volatility trading strategy in the KOSPI200 options market

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Advisors
김인준researcherKim, In-Joonresearcher
Description
한국과학기술원 : 금융공학전공,
Publisher
한국과학기술원
Issue Date
2000
Identifier
158475/325007 / 000983746
Language
kor
Description

학위논문(석사) - 한국과학기술원 : 금융공학전공, 2000.2, [ iii, 59 p. ]

Keywords

내재 변동성; 1차 일반화된 자기회귀형 조건부 분산모형실적평가; 스트래들 거래; Straddle trading; Hedge funds; Mutual funds; Implied volatility; GARCH (1,1)model

URI
http://hdl.handle.net/10203/52080
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=158475&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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