Departmental Bulletin Paper 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

(56) 2015-03-24 , 法政大学大学院理工学・工学研究科
ISSN:2187-9923
NCID:AA12677220
Description
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.
Full-Text

http://repo.lib.hosei.ac.jp/bitstream/10114/10665/1/13R6211.pdf

Number of accesses :  

Other information