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dc.contributor.advisor이준엽-
dc.contributor.author이승원-
dc.creator이승원-
dc.date.accessioned2016-08-26T12:08:18Z-
dc.date.available2016-08-26T12:08:18Z-
dc.date.issued2012-
dc.identifier.otherOAK-000000072131-
dc.identifier.urihttps://dspace.ewha.ac.kr/handle/2015.oak/190699-
dc.identifier.urihttp://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000072131-
dc.description.abstractOption pricing is one of important issues in fnancial mathematics. We would study stock process, volatility and Black-Scholes equation for option pricing through this thesis. We consider two kinds of volatility, the historical volatility and the implied volatility, and evaluate these values with actual data of KOSPI 200. We derive a mathematical formula for European option pricing by transforming the Black-Scholes equation into a diffusion equation, and we introduce a Finite Difference Method for the evaluation of American option price.;옵션 가격계산은 금융수학에서 중요한 이슈 중 하나이다. 우리는 이 논문에서 option pricing을 위하여 stock process, Black-Scholes equation, 변동성에 대하여 공부한다. 두 종류의 변동성, 즉 역사적 변동성과 내재변동성을 계산하는 방법에 대하여 살펴보았으며 실제 KOSPI 200 자료를 가지고 실증 분석해 보았다. Black-Scholes equation을 diffusion equation으로 변형하여 유러피언 옵션 가격에 대한 공식을 얻었으며, 아메리칸 옵션 가치를 계산하는 방법 중 하나인 Finite difference method를 제시한다-
dc.description.tableofcontents1 Introduction 1 1.1 Basic Concepts of Option 1 2 Mathematical Background on Stock Price 5 2.1 Stochastic Processes 5 2.1.1 Wiener Processe 5 2.1.2 Generalized Wiener Process 5 2.1.3 Ito Process 6 2.2 Ito Lemma 6 2.3 The Process for Stock Price 11 3 Historical Volatility 13 3.1 The Lognormal Property 13 3.2 Historical Volatility with KOSPI 200 16 4 European Option Pricing 19 4.1 Black-Scholes Equation 19 4.2 Explicit Formula for European Option Pricing 21 5 Implied Volatility 27 5.1 Implied Volatility with KOSPI 200 30 6 American Option Pricing 34 6.1 Implicit Finite Different Method 36 6.2 Explicit Finite Difference Method 39 7 Conclusion 41 A Source Programing 42 A.1 Historical Volatility 42 A.2 Implied Volatility 43 References 44 국문초록 46-
dc.formatapplication/pdf-
dc.format.extent1254821 bytes-
dc.languageeng-
dc.publisher이화여자대학교 대학원-
dc.subject.ddc500-
dc.titleMathematical Background on Option Pricing and Numerical Evaluation of Volatility Using KOSPI 200-
dc.typeMaster's Thesis-
dc.format.pageiii, 46 p.-
dc.identifier.thesisdegreeMaster-
dc.identifier.major대학원 수학과-
dc.date.awarded2012. 8-
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일반대학원 > 수학과 > Theses_Master
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