紀要論文 Minimal Market Modelにおける二項近似を用いたアメリカ型オプション評価
EVALUATIONS OF AMERICAN OPTION UNDER MINIMAL MARKET MODEL USING A BINOMIAL APPROXIMATION

高橋, 明之  ,  TAKAHASHI, Akiyuki

562015-03-24 , 法政大学大学院理工学・工学研究科
ISSN:21879923
NII書誌ID(NCID):AA12677220
内容記述
In this paper, we investigate pricing of American options under the real world probability measure, and obtain the optimal exercise boundary. In general, option pricing is carried out under a risk-neutral probability measure, however using the benchmark approach, it is possible to carry out option pricing under the real world probability measure even if a market risk-neutral probability measure does not exist. As an approximation of the growth optimal portfolio, we use the minimal market model with random scaling. Through a binomial approximation, we give an American option pricing method under the model.
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http://repo.lib.hosei.ac.jp/bitstream/10114/10665/1/13R6211.pdf

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