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dc.contributor.advisor김대경-
dc.contributor.author손경석-
dc.date.accessioned2020-03-26T17:11:23Z-
dc.date.available2020-03-26T17:11:23Z-
dc.date.issued2011-02-
dc.identifier.urihttp://dcollection.hanyang.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000060035en_US
dc.identifier.urihttps://repository.hanyang.ac.kr/handle/20.500.11754/140176-
dc.description.abstractThere are various techniques for the numerical solution of mathematical model of derivative securities. Mostly numerical methods to be used for option pricing are Lattice method, Monte-Carlo simulation and finite difference method. We apply finite element method for solving Black-Scholes model. We apply finite element method to the approximation of the American option value. American put has a free boundary on which the optimal exercise take place. Derivative securities with more complicated payoffs than European options tend to be increasing. For example, There are barrier option, Asian option etc. These are called Exotic options. Finite element methods is proposed in various Exotic options.-
dc.publisher한양대학교-
dc.title블랙-숄즈 모델을 이용한 수치적 옵션 가격결정-
dc.title.alternativeNumerical option pricing for Black-scholes model-
dc.typeTheses-
dc.contributor.googleauthor손경석-
dc.contributor.alternativeauthorSon kyungseok-
dc.sector.campusS-
dc.sector.daehak대학원-
dc.sector.department응용수학과-
dc.description.degreeMaster-
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GRADUATE SCHOOL[S](대학원) > APPLIED MATHEMATICS(응용수학과) > Theses (Master)
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