1. Motivation
2. Black Scholes Option Pricing Model
Options
5 factors
Assumptions
Caculation of Black-Scholes Model
Understanding B-S formula
Understanding B-S formula
Extracting sample data
Materialization of B-S model
Deriving B-S option price
Multiple Regression Model – Con’td
Comparison : Real Call option price & Regression & Black-Scholes Model
3) Put Option Valuation
A Pall Option confers the right on its holder, without the obligation, to sell the underlying asset at a certain date for a certain price. Only a little extra work is needed to value put options. Basically , we just pretend that a put option is a call option and use the Black-Scholes formula to value it. We then use the put-call parity condition to solve for the put valu
1. 회귀분석 [regression analysis]
하나나 그 이상의 독립변수의 종속변수에 대한 영향의 추정을 할 수 있는 통계기법을 말한다. 하나의 독립변수를 가진 회귀분석에서, 하나의 방정식은 독립변수와 종속변수의 결합분포를 보여 주는 지점들의 분포구성을 통해 지나가는 하나의 선을 설명하고 있다.
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1.1 Study Designs
․Retrospective Studies
․Prospective Studies
※ Survival Analysis
; Deals with analysis of data that have "time to an event".
※ Survival time
; Time until an event occurs.
※ Event
; a. relapse of a disease
b. death
c. response to a treatment
; Economical,
To obtain answers quickly because the cas