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가변 변동성 모형을 이용한 KOSPI200지수옵션 가격 결정
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- Authors
- Advisor
- 유근관
- Issue Date
- 2003
- Publisher
- 서울대학교 대학원
- Keywords
- 주가지수옵션 ; Stock index option ; 가변 변동성 ; Stochastic volatility ; Black-Scholes 옵션가격결정모형 ; Black-Scholes option pricing model ; 마코프 체인 몬테 칼로 표본추출 ; Markov chain Monte Carlo sampling method ; 몬테 칼로 시뮬레이션 ; Monte Carlo simulation ; KOSPI200 ; KOSPI200
- Description
- 학위논문(석사)--서울대학교 대학원 :경제학부 경제학전공,2003.
- Language
- Korean
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000057941
https://hdl.handle.net/10371/27279
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