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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747
21
장
시장 기반 가치 평가
우리는 극심한 변동성에 직면하고 있다.
- 카를로스 고슨
Carlos
Ghosn
파생상품 분석에서 중요한 작업은 유동성이 부족한 옵션이나 파생상품을 시장 기반으로 평가
하는 것이다. 이를 위해 가격결정 모형을 거래되는 옵션의 시장 호가에 맞게 보정하고 이렇게
보정된 모형을 사용하여 거래되지 않는 옵션의 가격을 결정한다.
1
이번 장에서는 앞에서 순서대로 개발한
DX
패키지를 사용하여 예제를 제시하고, 시장 기반 가
격결정을 할 수 있다는 것을 보인다. 예제는
30
개의 독일 주식으로 구성된 블루칩 주가지수인
DAX
30
주가지수와 이 지수를 기초 자산으로 하는 유러피안 콜/풋 옵션을 사용한다.
이 장은 다음과 같은 절로 구성되어 있다.
옵션 데이터
DAX
30
주가지수와 이 지수를 기초 자산으로 하여 매매되는 유러피안 옵션에 대한 데이터,
두 가지 데이터가 필요하다.
1
자세한 내용은
Hilpisch
(
2015
) 를 참조한다.
시장 기반 가치 평가
CHAPTER
21
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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.