Thesis
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Zeng Yingying | en_US |
| dc.date.accessioned | 2014-12-01T11:48:17Z | - |
| dc.date.available | 2014-12-01T11:48:17Z | - |
| dc.date.issued | 2012 | en_US |
| dc.identifier.other | OAK-2014-01149 | en_US |
| dc.identifier.uri | http://postech.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001390012 | en_US |
| dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/1651 | - |
| dc.description | Master | en_US |
| dc.description.abstract | We discuss a general risk-neutral pricing of compound option under jump- diffusion model with log-normally distributed jumps. Call on call option is dis- cussed in detail and other types of compound option can be handled similarly. We obtain an explicit pricing formula which is a series of Black-Scholes type for- mulas. The resulting pricing formula is further examined under a specific risk- neutral measure. | en_US |
| dc.language | eng | en_US |
| dc.publisher | 포항공과대학교 | en_US |
| dc.rights | BY_NC_ND | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.0/kr | en_US |
| dc.title | Valuation of Compound Options under Jump-diffusion Model | en_US |
| dc.type | Thesis | en_US |
| dc.contributor.college | 일반대학원 수학과 | en_US |
| dc.date.degree | 2012- 8 | en_US |
| dc.type.docType | Thesis | - |
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