원문정보
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초록
영어
We introduce optimized Gaussian mixture model to price derivatives. The research examines stock market data to discuss the normality assumption of Black-Sholes(1973) model and its application to stock market. We develop and simulate a new kernel density, derived from optimized Gaussian mixture, to ameliorate the performance of the classic option pricing theory. This paper tests and suggests optimized Gaussian mixture model by varying period length and characteristics of basis asset data. Our model is compared to the normal and regime switching model.
목차
Abstract
1. Introduction
2. The Model Framework
2.1 The Gaussian Mixture Model
2.2 Parameter Estimation
2.3 The Model Test
3. European Option Pricing With Optimized Gaussian Mixture
4. Asset Returns With Gaussian Mixture Distribution
4.1 Long Term. 1990.01.03~2008.12.30
4.2 Short Term. 1990.01.03~2005.07.22
5. The Model Test with the Stock Market Data
6. Conclusions
7. References
1. Introduction
2. The Model Framework
2.1 The Gaussian Mixture Model
2.2 Parameter Estimation
2.3 The Model Test
3. European Option Pricing With Optimized Gaussian Mixture
4. Asset Returns With Gaussian Mixture Distribution
4.1 Long Term. 1990.01.03~2008.12.30
4.2 Short Term. 1990.01.03~2005.07.22
5. The Model Test with the Stock Market Data
6. Conclusions
7. References
저자정보
참고문헌
자료제공 : 네이버학술정보