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.
초록· 키워드
오류제보하기
We present two approaches of the stochastic interest rate Europeanoption pricing model. One is a bond numeraire approach which isapplicable to a nonzero value asset. In this approach, we assumelog-normality of returns of the asset normalized by a bond whosematurity is the same as the expiration date of an option insteadthat of an asset itself. Another one is the expectation hypothesisapproach for value zero asset which has futures-style margining.Bond numeraire approach allows us to calculate volatilitiesimplied in options even though stochastic interest rate is
목차
등록된 정보가 없습니다.
참고문헌 (12)
참고문헌 신청
/ 1973 / Theory of rational option pricing 4 : 141 ~
/ 1978 / The value of an option to exchange one assetfor another 33 : 177 ~
/ 1983 / Foreign currency option values 2 : 231 ~
/ 1985 / The valuation of optionson futures contracts 40 : 1319 ~
/ 1999 / Pricing options under generalized GARCHand stochastic volatility processes 54 : 377 ~ 402
/ 1978 / The value of an option to exchange one assetfor another 33 : 177 ~
/ 1983 / Foreign currency option values 2 : 231 ~
/ 1985 / The valuation of optionson futures contracts 40 : 1319 ~
/ 1999 / Pricing options under generalized GARCHand stochastic volatility processes 54 : 377 ~ 402
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
A Simple Approach for Stochastic Interest Rate Option Pricing Model
한국산업응용수학회 학술대회 논문집
2005 .05
-
Option pricing for a stochastic volatility L$\acute{e}$vy model with stochastic interest rates
JKSS(Journal of the Korean Statistical Society)
2013 .01
-
Jump-diffusion Asset Models Derived From Stochastic Difference Equations
한국산업응용수학회 학술대회 논문집
2007 .11
-
MULTI-ASSET OPTION PRICING IN A REGIME-SWITCHING MODEL
한국산업응용수학회 학술대회 논문집
2012 .11
-
ASSET MODEL INVESTED BY SHORT-SAMPLING INTERVALS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2005 .06
-
COMPARISON OF STOCHASTIC VOLATILITY MODELS : EMPIRICAL STUDY ON KOSPI200 INDEX OPTIONS
한국산업응용수학회 학술대회 논문집
2007 .11
-
Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options
대한수학회보
2009 .01
-
MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2010 .12
-
Analytic calculation of european option pricing in stochastic volatility asset model
한국수학논문집
2012 .01
-
Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
대한수학회논문집
2018 .01
-
Recent Approaches for Stochastic Reaction Networks
한국산업응용수학회 학술대회 논문집
2012 .11
-
PRICING OF POWER OPTIONS UNDER THE REGIME-SWITCHING MODEL
Journal of applied mathematics & informatics
2014 .01
-
PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2016 .06
-
OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2015 .12
-
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
-
Financial models induced from auxiliary indices and twitter data
한국수학논문집
2014 .01
-
Pricing options with credit risk in a reduced form model
JKSS(Journal of the Korean Statistical Society)
2012 .01
-
Numerical Solutions of Option Pricing Model with Liquidity Risk
대한수학회논문집
2008 .01
-
A survey on American options: old approaches and new trends
대한수학회보
2011 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0