(A) structural understanding of american option dynamics and application to deposit insurance미국식 옵션 가격 변화에 대한 구조적 이해 및 예금 보험에의 응용

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dc.contributor.advisorKim, Byung-Chun-
dc.contributor.advisor김병천-
dc.contributor.authorOh, Seung-Young-
dc.contributor.author오승영-
dc.date.accessioned2011-12-27T04:22:29Z-
dc.date.available2011-12-27T04:22:29Z-
dc.date.issued2004-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=240758&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/53563-
dc.description학위논문(박사) - 한국과학기술원 : 경영공학전공, 2004.8, [ v, 121 p. ]-
dc.description.abstractAbstract This dissertation deals with the nature of American option pricing. First, it explores the nature of the American options dynamics and introduces a general methodology to derive the analytic valuation formula of the American options on the same basis of Black-Scholes model using the knowledge with diffusion theory. The formula is derived from the analysis of the structural mechanics between early exercise premium and the European options. The whole information on the dynamics of the American options is provided while deriving the formula. And the reason why the optimal exercise boundary has to be determined in the solution process of the valuation formula is explained and the basic characteristics of early exercise boundary are reviewed in diffusion framework. The analytic valuation formula of American options can be obtained by using the general methodology developed in Chapter 2. The chapter expands the general methodology to be applied to several other American options.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectDEPOSIT INSURANCE-
dc.subjectASIAN OPTIONS-
dc.subjectOPTION PRICING MODEL-
dc.subjectAMERICAN OPTION VALUATION-
dc.subjectCLOSED-END FUNDSN-
dc.subject폐쇄형 펀드-
dc.subject예금보험-
dc.subject아시안옵션-
dc.subject옵션 가격결정 모형-
dc.subject미국식 옵션 가치평가-
dc.title(A) structural understanding of american option dynamics and application to deposit insurance-
dc.title.alternative미국식 옵션 가격 변화에 대한 구조적 이해 및 예금 보험에의 응용-
dc.typeThesis(Ph.D)-
dc.identifier.CNRN240758/325007 -
dc.description.department한국과학기술원 : 경영공학전공, -
dc.identifier.uid000975210-
dc.contributor.localauthorKim, Byung-Chun-
dc.contributor.localauthor김병천-
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KGSM-Theses_Ph.D.(박사논문)
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