Earticle

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

저자

• Seung Youn Cha [ Seoul National University, Seoul, Korea ]
• Doo Bae Jun [ Seoul National University, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330