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SABR 모형 하에서 금융파생상품의 가치평가
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 배형옥 | - |
| dc.contributor.author | Woo KyoungSik | - |
| dc.date.accessioned | 2019-10-21T07:24:01Z | - |
| dc.date.available | 2019-10-21T07:24:01Z | - |
| dc.date.issued | 2015-02 | - |
| dc.identifier.other | 19011 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/18559 | - |
| dc.description | 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2015. 2 | - |
| dc.description.abstract | . | - |
| dc.description.tableofcontents | 1.Introduction 1 2.Stochastic Alpha Beta Rho(SABR) model 3 3.Parameters calibration 4 3.1.Estimating beta 4 3.2.Estimating alpha, rho, and nu 5 4.Volatility surface 6 4.1.Skew and term structure 6 4.2.Surface 8 4.3.Volatility dynamics 8 5.Numerical methods 10 5.1.Monte Carlo simulation with MPI parallel computation 10 5.2.PDE approach 12 6.Numerical results 16 6.1.European option under the SABR model 16 6.2.Barrier option under the SABR model 18 6.3.1 star Equity Linked Securities(ELS) under the SABR model with MPI parallel computation 20 7.Conclusions 25 | - |
| dc.language.iso | eng | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | SABR 모형 하에서 금융파생상품의 가치평가 | - |
| dc.title.alternative | Woo Kyoungsik | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Woo Kyoungsik | - |
| dc.contributor.department | 일반대학원 금융공학과 | - |
| dc.date.awarded | 2015. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.localId | 695429 | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000019011 | - |
| dc.subject.keyword | SABR | - |
| dc.subject.keyword | 금융파생상품 | - |
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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