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KOSPI200 call option data analysis using duan GARCH model : Duam Garch 모형을 이용한 자료분석
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- Authors
- Advisor
- 이상열
- Issue Date
- 2009
- Publisher
- 서울대학교 대학원
- Keywords
- GARCH ; GARCH process ; 이분산성 ; heteroskedasticity ; 블랙쇼울즈 모형 ; Black-Scholes model ; 가격결정측도 ; pricing measure ; 측도변환 ; change of measure ; 몬테카를로 시뮬레이션 ; Monte Carlo simulation
- Description
- Thesis(masters) --서울대학교 대학원 :통계학과, 2009.2.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000036596
https://hdl.handle.net/10371/20736
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