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SCOPUS
A quantile estimation for massive data with generalized Pareto distribution
Song, Jongwoo;
Song, Seongjoo
Article
Issue Date
2012
Citation
COMPUTATIONAL STATISTICS & DATA ANALYSIS, v.56, no.1, pp.143 - 150
Publisher
ELSEVIER
KCI
블랙-숄즈 모형과 Variance Gamma 모형을 이용한 지수연동예금 수익률 예상
김치훈;
송성주
Article
Issue Date
2012
Citation
Journal of The Korean Data Analysis Society, v.14, no.5, pp.2463 - 2475
Publisher
한국자료분석학회
KCI
Variance Gamma 과정을 이용한 옵션 가격의 결정 연구
이현의;
송성주
Article
Issue Date
2012
Citation
응용통계연구, v.25, no.1, pp.55 - 66
Publisher
한국통계학회
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Song, Jongwoo
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김치훈
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Black-Scholes model
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블랙-숄즈 모형
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Equity-Linked Deposit (ELD)
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Generalized Pareto distribution
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Levy processes
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Massive data
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Nonlinear least squares
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option pricing model.
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Parameter estimation
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Peak over threshold
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