金融工学における非線形問題の考察

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概要

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• The purpose of the paper is to present a paradigm in nonlinear problems to financial engineering from the viewpoint of the numerical analysis. The main problem is to give a global method of calculating the implied volatility of European options and to establish a verification theorem which verifies the existence and uniqueness of exact implied volatility and assures the number of accurate digits of numerical results. Our numerical analysis of implied volatility is efficient in both European call and put.

• 2006-01-17

著者

• 篠原 能材

  四国大

関連論文

• 金融工学における非線形問題の考察

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