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Implied finance theory : 시장가격에 내재된 금융이론
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- Authors
- Advisor
- 최형인
- Issue Date
- 2003
- Publisher
- 서울대학교 대학원
- Keywords
- 내재 분포 ; Implied distribution ; 내재 확률과정 ; Implied process ; 동등 마팅게일확률측도 ; Equivalent martingale measure ; 내재 변동성 ; Implied volatility ; 국소 변동성 ; Local volatility ; Black-Scholes 모형 ; Black-scholes model ; 확률변동성 모형 ; Stochastic volatility model ; Fokker-Plank 방정식 ; Fokker-plank equation ; Dupire 모형 ; Dupire’s model ; Derman-Kani 모형 ; Derman and kani’s model ; Britten-Jones와 Neuberger의 모형 ; Britten-jones and neuberger’s model ; 콜 옵션 ; Call option ; 정적 헤징 ; Static hedging ; 룩백 옵션 ; Lookback options ; 배리어 옵션. ; Barrier options.
- Description
- Thesis (doctoral)--서울대학교 대학원 :수리과학부,2003.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000058243
https://hdl.handle.net/10371/19929
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