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A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure
http://hdl.handle.net/2261/52407
http://hdl.handle.net/2261/524077b77eeb0-3a47-4189-bb13-099a5ddd74b7
名前 / ファイル | ライセンス | アクション |
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jms170402.PDF (233.1 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2012-10-22 | |||||
タイトル | ||||||
タイトル | A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
著者 |
Umezawa, Yuji
× Umezawa, Yuji |
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著者所属 | ||||||
著者所属 | Mizuho-DL Financial Technology Co. Ltd. | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We study a hedging problem for an European contingent claim in a certain incomplete market model by using a homogeneous filtered value measure. We consider the minimal hedging risk in discrete time model and its continuous limit. As a result, we show that this limit is described by the unique viscosity solution of a kind of Hamilton-Jacobi-Bellman equation. | |||||
書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 17, 号 4, p. 359-386, 発行日 2011-03-29 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 13405705 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11021653 | |||||
日本十進分類法 | ||||||
主題 | 415 | |||||
主題Scheme | NDC | |||||
Mathematical Reviews Number | ||||||
MR | ||||||
Mathmatical Subject Classification | ||||||
91B30(MSC2010) | ||||||
Mathmatical Subject Classification | ||||||
60F99(MSC2010) | ||||||
Mathmatical Subject Classification | ||||||
91B24(MSC2010) | ||||||
出版者 | ||||||
出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
原稿受領日 | ||||||
2010-03-02 |