확률적 이자율 모형 하에서의 베리어 옵션 가격결정

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 확률적 이자율 모형 하에서의 베리어 옵션의 가격산정이론
• 1. 확률적 이자율 모형 하에서의 반사원리
• 2. 베리어 옵션의 가격산정 원리
• Ⅲ. 할인 베리어(Discounted Barrier) 옵션의 가격 산정식
• Ⅳ. 고정 베리어(Fixed Barrier) 옵션의 가격산정식
• Ⅴ. 베리어 옵션에 대한 확률적 이자율의 가격효과
• 1. 확률적 이자율 가정의 효과
• 2. 이자율 모형의 모수 및 상관관계의 효과
• Ⅵ. 결론
• 참고문헌
• 부록
• Abstract

참고문헌 (Reference)

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