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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 |
|---|---|---|
jms170402.PDF (233.1 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 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Scheme | NDC | |||||
| 主題 | 415 | |||||
| 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 | ||||||
