新型のバリアオプション-Lizard Option-の提案とVariance Gammaモデルの下での価格評価例(応用,数理ファイナンス,<特集>平成18年研究部会連合発表会)
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概要
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In this paper, we introduce a new type of barrier options, that is, Lizard Option. The most brand-new point is that its payoff explicitly includes stock prices in the first passage time to a given barrier level and right before this time. Then, basing on the risk-neutral valuation, we analytically price Lizard Option under the Variance Gamma model. At the same time, we also obtain an analytical valuation of one touch barrier option.
- 日本応用数理学会の論文
- 2006-09-25