DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, In-Joon | - |
dc.contributor.advisor | 김인준 | - |
dc.contributor.author | Lim, Seong-Yeon | - |
dc.contributor.author | 임성연 | - |
dc.date.accessioned | 2011-12-27T04:43:20Z | - |
dc.date.available | 2011-12-27T04:43:20Z | - |
dc.date.issued | 1998 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=135186&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/53952 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 테크노경영대학원, 1998.2, [ [42] p. ] | - |
dc.description.abstract | Black and Scholes assumed constant variance rate of the underlying asset. But there are evidences that the volatilities change over time. So it would be appropriate to consider option values when the volatility is time-varying. When volatility is a deterministic function of time, European option price depends only on the average volatility until maturity. But American option prices are not same when volatility follows different path with the same time average. When volatility is decreasing over time, the American option value is higher than the value with constant volatility, and option value with increasing volatility us lower than the option value with constant volatility. These results are due to the early exercise feature of the American options. When the volatility is decreasing, there seem to be much chance of early-exercise. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Option valuation | - |
dc.subject | American option | - |
dc.subject | Time-varying volatility | - |
dc.subject | Numerical method | - |
dc.subject | 수치해법 | - |
dc.subject | 옵션 가격평가 | - |
dc.subject | 미국식 옵션 | - |
dc.subject | 시간 의존 변동성 | - |
dc.title | Valuation of American options under time-varying volatility | - |
dc.title.alternative | 시간 의존 변동성 하에서의 미국식 옵션의 가치평가 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 135186/325007 | - |
dc.description.department | 한국과학기술원 : 테크노경영대학원, | - |
dc.identifier.uid | 000963524 | - |
dc.contributor.localauthor | Kim, In-Joon | - |
dc.contributor.localauthor | 김인준 | - |
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