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Application of Homomorpic Encryption in Black-Scholes Equation : 블랙숄츠 방정식에서 동형암호이론의 적용
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- Authors
- Advisor
- 이기암
- Major
- 자연과학대학 수리과학부
- Issue Date
- 2014-08
- Publisher
- 서울대학교 대학원
- Keywords
- black-scholes ; option ; homomorphic encryption
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2014. 8. 이기암.
- Abstract
- This paper propose the method that is the calculation for price of option to apply a fully homomorphic encryption.
In chapter 1,we provide a brief introduction about how to apply that information.
In chapter 2, we describe a typical option pricing model which is the Black-Scholes equation and derive its solution.
In chapter 3, we introduce CRT-based FHE [8] published at Seoul National University, and BGV algorithm[7] that used in the design of HElib.
Finally, In chapter 4, we show that the results of calculated by modifying
c++ code of [8] implementd NTL written by Dr. Lee Hyung-Tae (Nanyang Technological University). And we discuss to improve ways.
- Language
- English
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