Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 송종우 | - |
dc.date.accessioned | 2016-08-28T12:08:44Z | - |
dc.date.available | 2016-08-28T12:08:44Z | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.other | OAK-7629 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/221665 | - |
dc.description.abstract | When the underlying asset price process follows a Lévy process, the market becomes incomplete, in which the option pricing can be a complicated problem. This paper proposes a method of asymptotic option pricing when the underlying asset price process follows a pure-jump Lévy process. We express the option price as the expected value of the discounted payoff and expand it at the Black-Scholes price assuming that the price process converges weakly to the Black-Scholes model. The price can be approximated by a formula with 4 parameters, which can easily be estimated using option prices observed in the market. The proposed price explains the market option data better than the Black-Scholes price in real data application with KOSPI 200. © 2010 The Korean Statistical Society. | - |
dc.language | English | - |
dc.title | Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression | - |
dc.type | Article | - |
dc.relation.issue | 2 | - |
dc.relation.volume | 40 | - |
dc.relation.index | SCIE | - |
dc.relation.index | SCOPUS | - |
dc.relation.index | KCI | - |
dc.relation.startpage | 227 | - |
dc.relation.lastpage | 238 | - |
dc.relation.journaltitle | Journal of the Korean Statistical Society | - |
dc.identifier.doi | 10.1016/j.jkss.2010.10.001 | - |
dc.identifier.wosid | WOS:000290823000013 | - |
dc.identifier.scopusid | 2-s2.0-79954568208 | - |
dc.author.google | Song S. | - |
dc.author.google | Jeong J. | - |
dc.author.google | Song J. | - |
dc.contributor.scopusid | 송종우(24172121500) | - |
dc.date.modifydate | 20170301081004 | - |