Publications
Detailed Information
Comparison of L1 and L2 Approximation in Estimating the Implied Volatility Surface : 내재변동성 표면 추정에 있어서 L1,L2 근사 비교
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 최형인 | - |
| dc.contributor.author | 김원세 | - |
| dc.date.accessioned | 2017-07-19T08:58:41Z | - |
| dc.date.available | 2017-07-19T08:58:41Z | - |
| dc.date.issued | 2013-02 | - |
| dc.identifier.other | 000000009938 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/131466 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2013. 2. 최형인. | - |
| dc.description.abstract | In this paper, we approximate the implied volatility surface of KOSPI200
call option in the assumption that the implied volatility surface can be ap- proximated by bivariate polynomial function of degree 4. In the approxima- tion , we adopt two dierent methods, L1 approximation and L2 approxima- tion. Finally, We discuss about the accuracy of the approximation methods by comparing the numerical results of them. | - |
| dc.description.tableofcontents | Abstract
1 Introduction 2 Basic Setting 2.1 Moneyness 2.2 Index 2.3 Approximating Polynomial Function of the Implied Volatility Surface 3 L1 & L2 Approximation and Numerical Results 3.1 L1 Approximation 3.2 L2 Approximation 4 Comparison of the Results of L1 & L2 Approximation 4.1 Data of 2012-11-20 4.2 Data of 2012-11-30 5 Conclusion Bibliography 21 | - |
| dc.format | application/pdf | - |
| dc.format.extent | 1776733 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 대학원 | - |
| dc.subject.ddc | 510 | - |
| dc.title | Comparison of L1 and L2 Approximation in Estimating the Implied Volatility Surface | - |
| dc.title.alternative | 내재변동성 표면 추정에 있어서 L1,L2 근사 비교 | - |
| dc.type | Thesis | - |
| dc.description.degree | Master | - |
| dc.citation.pages | 22 | - |
| dc.contributor.affiliation | 자연과학대학 수리과학부 | - |
| dc.date.awarded | 2013-02 | - |
- Appears in Collections:
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.