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

高橋, 明之

562015-03-24 , 法政大学大学院理工学・工学研究科
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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