<tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">タイトル</th> <td class="multiple-line">A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">言語</th> <td class="multiple-line">eng</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">資源</th> <td><a href="http://purl.org/coar/resource_type/c_6501" target='_blank'>http://purl.org/coar/resource_type/c_6501</a></td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">タイプ </th> <td class="multiple-line">departmental bulletin paper</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">著者所属</th> <td class="multiple-line">Mizuho-DL Financial Technology Co. Ltd.</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">内容記述タイプ</th> <td class="multiple-line">Abstract</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">内容記述</th> <td class="multiple-line">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.</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">収録物識別子タイプ</th> <td class="multiple-line">ISSN</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">収録物識別子</th> <td class="multiple-line">13405705</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">収録物識別子タイプ</th> <td class="multiple-line">NCID</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">収録物識別子</th> <td class="multiple-line">AA11021653</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">主題Scheme</th> <td class="multiple-line">NDC</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">主題</th> <td class="multiple-line">415</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;"></th> <td class="multiple-line">MR</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;"></th> <td class="multiple-line">91B30(MSC2010)</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;"></th> <td class="multiple-line">60F99(MSC2010)</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;"></th> <td class="multiple-line">91B24(MSC2010)</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;">出版者</th> <td class="multiple-line">Graduate School of Mathematical Sciences, The University of Tokyo</td> </tr> <tr style="border: 0px !important;"> <th scope="row" style="border: 0px !important;"></th> <th scope="row" colspan="5" style="border: 0px !important;"></th> <td class="multiple-line">2010-03-02</td> </tr>

Item type						紀要論文 / Departmental Bulletin Paper(1)
公開日						2012-10-22
タイトル
言語
資源タイプ
著者						Umezawa, Yuji × Umezawa, Yuji WEKO 92501 Umezawa, Yuji Search repository
著者所属
抄録
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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日本十進分類法
Mathematical Reviews Number
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Mathmatical Subject Classification
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原稿受領日