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Valuation and hedging under jump-diffusion process : 점프-디퓨젼 프로세스아래에서의 가격결정과 헷징전략
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- Authors
- Advisor
- 최형인
- Issue Date
- 2005
- Publisher
- 서울대학교 대학원
- Keywords
- 점프-디퓨젼 프로세스 ; Jump-diffusion process ; 컴파운드 뽀아송 프로세스 ; Compound Poisson process ; 레비 프로세스 ; Levy process ; 델타 헷징 ; Delta hedging
- Description
- Thesis(master`s)--서울대학교 대학원 :수리과학부,2005.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000050694
https://hdl.handle.net/10371/19936
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