March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
461
12
장
확률 과정
그림
12-16
동적 몬테카를로 방식과 해석해의 비교
12.3.2
아메리칸 옵션
아메리칸 옵션을 평가하는 것은 유러피안 옵션보다 더 복잡하다. 이 경우에는 옵션 가치 계산
과 관련하여
최적 정지 문제
optimal
stopping
problem
를 풀어야 한다. [수식
12
-
12
]는 아메리칸 옵션의
가치 평가 수식이다. 이 문제는 시뮬레이션상에서 이산 시간 그리드를 사용하여 풀 수 있다. 이
렇게 하면 사실 아메리칸 옵션이 아니라 특정 그리드 점에서 행사가 가능한 버뮤다 옵션 문제
를 푸는 셈이지만 시간 그리드의 간격을 좁히면 아메리칸 옵션으로 수렴한다.
수식
12-12
아메리칸 옵션 가격 계산을 위한 최적 정지 문제
–
00
0, , 2 , ...,
sup
rT Q
ttT
V e hS
E
다음에 설명하는 알고리즘은
Longstaff
and
Schwartz
(
2001
)의 논문에 나온
최소 자승 몬테카
를로
least
-
squares
Monte
Carlo
(
LSM
) 방법이다. 특정한 시간
t
에 아메리칸(혹은 버뮤다) 옵션의 가치는
462
3
부
금융 데이터 ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.