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Comparison of L1 and L2 Approximation in Estimating the Implied Volatility Surface : 내재변동성 표면 추정에 있어서 L1,L2 근사 비교
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- Authors
- Advisor
- 최형인
- Major
- 자연과학대학 수리과학부
- Issue Date
- 2013-02
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2013. 2. 최형인.
- 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.
- Language
- English
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