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Pricing of Passport Option
http://hdl.handle.net/2261/1326
http://hdl.handle.net/2261/1326f1460da6-8025-4333-b144-2fe44d2be68b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms050406.pdf (427.0 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-03-04 | |||||
| タイトル | ||||||
| タイトル | Pricing of Passport Option | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | passport option | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Black \& Scholes model | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Nagayama, Izumi
× Nagayama, Izumi |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Passport options are derivatives on actively managed funds. There is no known explicit formula for the price of passport options in general. We estimate and analyze the value function, and give the condition that the optimal strategy becomes trivial. We also show an approximation theorem which enables us to compute the value function numerically. Finally we give the explicit formula for the value function in the case that the interest rate is zero by using stochastic analytic approach. This is somehow done in symmetric case by Hyer, Lipton-Lifschitz, and Pugachevsky using partial differential equation approach. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 5, 号 4, p. 747-785, 発行日 1998 |
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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 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathematical Reviews Number | ||||||
| MR1675249 | ||||||
| Mathmatical Subject Classification | ||||||
| 90A09(MSC1991) | ||||||
| Mathmatical Subject Classification | ||||||
| 60J55(MSC1991) | ||||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 1998-05-21 | ||||||
