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조정 가치 결정, 한국금융연구원 Ⅰ. 개요
Ⅱ. 옵션가격과 주가수익률
Ⅲ. 옵션가격과 결정모형
Ⅳ. 옵션가격과 이항모형
Ⅴ. 옵션가격과 GARCH프로세스
Ⅵ. 옵션가격과 선물이론가격
Ⅶ. 옵션가격과 주택저당증권
참고문헌
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GARCH Effects", The Journal of Finance, 1990. pp. 221 ∼ 229.
Lehmann, B., "Fads, Martingales, and Market Efficency," Quaterly Journal of Economics 105 (1990), pp. 1∼28.
Lo, A., and C. MacKinlay, "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," Review of Fi
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GARCH estimation of optimal hedge ratios for stock index futures：A note," The Journal of Futures Markets, 15, (1995), 61-67.
Phillips, P. C. B. and P. Perron, "Testing for a Unit Root in Time Series Regression," Biometrika, 75, (1988), 335-346. [ 목 차 ]
Ⅰ. 서 론
Ⅱ. 외환 및 외환거래 기
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processes of Korean stock market using opening, closing, high, low price data for the time period from January 4, 1999 to March 27, 2001.
This analysis method employs the vector-autoregression, variance decomposition, and bivariate GARCH(1,1) models which are designed to measure the transmission of
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