Essays on option pricing models in discrete-time framework = 이산시간구조 하에서의 옵션가격결정모형에 관한 연구

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Advisors
Byun, Suk-Joonresearcher변석준researcher
Description
한국과학기술원 : 경영공학과,
Publisher
한국과학기술원
Issue Date
2011
Identifier
481801/325007  / 020057198
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학과, 2011.8, [ viii, 108p ]

Keywords

Conditional volatility; Option returns; Risk premium; GARCH option pricing models; Non-normality; 비정규성; 조건부 변동성; 옵션 수익률; 위험프리미엄; GARCH 옵션가격결정모형

URI
http://hdl.handle.net/10203/53545
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=481801&flag=dissertation
Appears in Collection
KGSM-Theses_Ph.D.(박사논문)
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