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
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721
19
장
파생상품 가치 평가
In [98]: am_put.vega()
Out[98]: 18.0961
TIP
최소 자승 몬테카를로
롱스태프-슈바르츠의 최소 자승 몬테카를로 알고리즘은 아메리칸 혹은 버뮤다 행사 특징을 가진 옵션이나 복
잡한 파생상품을 가치 평가할 수 있는, 수치적으로 효율적인 방법이다. 최소 자승 회귀법 단계에서는 수치
해석에 기반하여 최적 행사 전략을 근사할 수 있다. 최소 자승 회귀법은 고차 데이터를 쉽게 다룰 수 있기
때문에 파생상품 가치 평가가 유연해진다.
19.4
마치며
이번 장에서는 몬테카를로 시뮬레이션에 기반하여 유러피안 옵션과 아메리칸 옵션의 가치를
수치적으로 계산했다. 우선
valuation_class
라는 일반적인 가치 평가 클래스를 도입했다. 이
클래스는 가치 평가에 사용된 시뮬레이션 객체(위험 요인, 확률 과정)와는 무관하게 두 가지
유형의 옵션에 대해 중요한 그릭(델타, 베가 )을 추정할 수 있도록 했다.
일반적인 가치 평가 클래스를 기반으로
valuation_mcs_european
클래스와
valuation_mcs_
american
클래스라는 두 가지 특별 클래스를 만들었다. 유러피안 옵션의 가치 평가를 위한 클
래스는 단순하게
17
장에서 소개한 위험 중립 가치 평가 방법을 수치적 기댓값 계산법(
11
장에
서 소개된 몬테카를로 ...
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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.
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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.