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AN00234610-20151001-0007.pdf
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:Oct 28, 2021 |
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| Title |
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Local risk-minimizationに対する具体的表現の導出と数値計算法について
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| Kana |
Local risk-minimization ニ タイスル グタイテキ ヒョウゲン ノ ドウシュツ ト スウチ ケイサンホウ ニ ツイテ
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Local risk-minimization ni taisuru gutaiteki hyogen no doshutsu to suchi keisanho ni tsuite
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Explicit representations for local risk-minimization and its numerical analysis
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新井, 拓児
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アライ, タクジ
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Arai, Takuji
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| Affiliation |
慶應義塾大学経済学部
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Faculty of Economics, Keio University
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慶應義塾経済学会
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ケイオウ ギジュク ケイザイ ガッカイ
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| Romanization |
Keio gijuku keizai gakkai
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2015
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三田学会雑誌
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Mita journal of economics
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108
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3
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2015
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10
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483(7)
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503(27)
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| Abstract |
レヴィ過程によって駆動される確率微分方程式の解で資産価格が記述される非完備市場モデルを考える。非完備市場においてもっとも代表的な最適ヘッジ戦略であるlocal risk-minimizationの明示的表現を, レヴィ過程に対するマリアヴァン解析を用いて導出する。この表現にさらなる計算を施し, 高速フーリエ変換による数値計算が可能となる状態にまで展開する。
We consider incomplete market models whose asset price is given by a solution to a stochastic differential equation driven by a Lévy process. Our aim is to obtain explicit representations for local risk-minimization, which is one of representative hedging methods for incomplete markets. Moreover, adding some calculations, we induce integral expressions to which we can apply a numerical scheme based on the fast Fourier transform.
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| Oct 3, 2016 | | Modified; Free Keywords, Abstract, Edition, Document File. |
| Oct 28, 2021 | | JaLCDOI を変更 |
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