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초록
We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.
키워드
asset model; jump-diffusion process; SDE; portfolio
- 제목
- MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION
- 저자
- 오재필
- 발행일
- 2010-12
- 유형
- Y
- 권
- 14
- 호
- 4
- 페이지
- 211 ~ 224