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변동성 미소 현상을 반영한 KOSPI200 지수 내재변동성 추정 방법 비교
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- Authors
- Advisor
- 오형식
- Issue Date
- 2006
- Publisher
- 서울大學校 大學院
- Keywords
- 내재변동성 ; implied volatility ; 가중치법 ; volatility smile ; 등가격 이용법 ; simultaneous equation estimator ; 변동성 함수 ; average four at-the-money options ; 변동성 미소 ; volatility functions ; 거래전략을 이용한 효율성 검증 ; real trading benefits of delta-neutral strategy
- Description
- 학위논문(석사)--서울大學校 大學院 :産業工學科, 2006.
- Language
- Korean
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000049216
https://hdl.handle.net/10371/11684
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