지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2007.11
- 수록면
- 53 - 56 (4page)
이용수
초록· 키워드
오류제보하기
We get a jump-diffusion process from arrays of random variables satisfying some stochastic difference equations. From this jump-diffusion process, we can define some asset models. For these asset models, we study option prices and hedging problems of European option.
목차
ABSTRACT
MOTIVATION
JUMP-DIFFUSION FROM STOCHASTIC DIFFERENCE EQUATIONS
ASSET MODELS
REFERENCES
참고문헌 (0)
참고문헌 신청함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2010 .12
-
ASSET MODEL INVESTED BY SHORT-SAMPLING INTERVALS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2005 .06
-
HEDGING OF OPTION IN JUMP-TYPE SEMIMARTINGALE ASSET MODEL
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2009 .06
-
Analytic calculation of european option pricing in stochastic volatility asset model
한국수학논문집
2012 .01
-
HEDGING OF OPTION IN SHORT-SAMPLING ASSET MODEL : HOFMANN-PLATEN-SCHWEIZER MARTINGALE MODEL
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2006 .06
-
Pricing options with credit risk in a reduced form model
JKSS(Journal of the Korean Statistical Society)
2012 .01
-
A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL
순수 및 응용수학
2015 .01
-
OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES
순수 및 응용수학
2014 .01
-
ALTERNATIVE NUMERICAL APPROACHES TO THE JUMP-DIFFUSION OPTION VALUATION
Journal of applied mathematics & computing
2005 .01
-
Approximations of option prices for a jump-diffusion model
대한수학회지
2006 .01
-
OPTIMAL PORTFOLIO FOR MULTI-TYPE ASSET MODELS USING FILTERED VARIOUS INFORMATION
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2011 .12
-
EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2014 .03
-
ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
대한수학회보
2010 .01
-
CONVERGENCE OF THE BINOMIAL TREE METHOD FOR PRICING LOOKBACK OPTIONS IN A JUMP-DIFFUSION MODEL
한국산업응용수학회 학술대회 논문집
2007 .05
-
Financial models induced from auxiliary indices and twitter data
한국수학논문집
2014 .01
-
Time-resolved methods in biophysics. 9. Laser temperature-jump methods for investigating biomolecular dynamics
Photochemical & photobiological sciences : an international journal
2009 .01
-
On the Transmission of Jumps among Asian Major Currency Exchange Rates
Journal of The Korean Data Analysis Society
2016 .01
-
Option pricing for a stochastic volatility L$\acute{e}$vy model with stochastic interest rates
JKSS(Journal of the Korean Statistical Society)
2013 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2009-410-014680252