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New option valuation and hedging method for the model with stochastic volatility : 확률적 발산을 가진 모델에 대한 새로운 옵션의 가격결정과 헷지방법
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- Authors
- Advisor
- 최형인
- Issue Date
- 1997
- Publisher
- 서울대학교 대학원
- Keywords
- 옵션 ; option ; 확률적 발산 ; stochastic volatility ; 헷지 ; hedge ; 포물형 편미분방정식 ; transaction costs ; 확률과정방정식 ; partial differential equation
- Description
- Thesis (doctoral)--서울대학교 대학원 :수학과,1997.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000079831
https://hdl.handle.net/10371/55968
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