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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.13 No.2
- 발행연도
- 2009.6
- 수록면
- 87 - 100 (14page)
이용수
초록· 키워드
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Hedging strategy for European option of jump-type semimartingale asset model, which is derived from stochastic differential equation whose driving process is a jump-type semimartingle, is discussed.
목차
ABSTRACT
1. INTRODUCTION
2. BASIC THEORY
3. ASSET MODEL
4. HEDGING OF OPTION
REFERENCES
참고문헌 (11)
참고문헌 신청
1. [학술지(정기간행물)] - E. Eberlein / 1997 / On the range of option prices / Finance and Stochastics 1
2. [학술지(정기간행물)] - E. Eberlein / 1995 / Hyperbolic distributions in finance / Bernoulli 1
3. [학술지(정기간행물)] - E. Eberlein / 1998 / New insight into smile, mispricing, and value at risk: The hyperbolic model / The J. of Business 71
4. [학술지(정기간행물)] - T. Fujiwara / 1999 / Canonical SDE’s on semimartingales with spatial parameters / Kyushu J. of Math. 53
5. [단행본] - H. Follmer / 1990 / Hedging of contingent claims under incomplete information in Allpied Stochastic Analysis / Gordon and Breach
2. [학술지(정기간행물)] - E. Eberlein / 1995 / Hyperbolic distributions in finance / Bernoulli 1
3. [학술지(정기간행물)] - E. Eberlein / 1998 / New insight into smile, mispricing, and value at risk: The hyperbolic model / The J. of Business 71
4. [학술지(정기간행물)] - T. Fujiwara / 1999 / Canonical SDE’s on semimartingales with spatial parameters / Kyushu J. of Math. 53
5. [단행본] - H. Follmer / 1990 / Hedging of contingent claims under incomplete information in Allpied Stochastic Analysis / Gordon and Breach
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UCI(KEPA) : I410-ECN-0101-2009-410-018463751