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변동성 스마일을 고려한 델타헤징의 성과분석
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 구형건 | - |
| dc.contributor.author | 최성영 | - |
| dc.date.accessioned | 2018-11-08T08:02:35Z | - |
| dc.date.available | 2018-11-08T08:02:35Z | - |
| dc.date.issued | 2013-02 | - |
| dc.identifier.other | 13690 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/9741 | - |
| dc.description | 학위논문(석사)아주대학교 일반대학원 :금융공학협동과정,2013. 2 | - |
| dc.description.tableofcontents | 제 1 장 서 론 1 1.1 연구 배경 및 목적 1 1.2 연구 방법 1 1.3 선행 연구 2 제 2 장 변동성 스마일을 고려한 델타 2 2.1 SM모형 3 2.2 ST모형 4 제 3 장 실증분석 5 3.1헤징성과분석방법 5 3.2 분석 결과 7 3.3 분석 결과의 원인 분석 10 제 4 장 결 론 13 | - |
| dc.language.iso | kor | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | 변동성 스마일을 고려한 델타헤징의 성과분석 | - |
| dc.title.alternative | Choi SeongYeong | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Choi SeongYeong | - |
| dc.contributor.department | 일반대학원 금융공학협동과정 | - |
| dc.date.awarded | 2013. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.localId | 570917 | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000013690 | - |
| dc.subject.keyword | 변동성 스마일 | - |
| dc.subject.keyword | 델타헤징 | - |
| dc.description.alternativeAbstract | The change of underling asset is assumed to follow normal distribution in the Black-scholes option pricing model. However, The volatility of stock market is known as volatility skew. To adjust this at delta-hegding strategy, it assume the volatility is a function of underling asset price. In consequence of this assumption, it can be get an adjusted delta. The delta-hedging strategies is performed to compare a difference of every delta. In a results, ST model show the best performance. This characteristic is appeared for a specific period. To analyze the cause, it's compared features of distribution in every period. The period, which have consistent moments show better performance. However, the period, which have inconsistent moments show worse performance. This period can be interpreted as including outlier. | - |
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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