THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY

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概要

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• This article considers the pricing of options with stochastic boundaries in a Gaussian economy. More specifically, prices of corporate discount bonds and knock-out exchange options are obtained in closed form. The key tools for doing this are the change of measure and the reflection principle of a driftless Gaussian process with a deterministic diffusion coefficient.

• 社団法人日本オペレーションズ・リサーチ学会の論文

著者

• Kijima Masaaki

  Tokyo Metropolitan University

• Kijima Masaaki

  Tokyo Metropolitan University And Daiwa Securities Group Chair Kyoto University

• SUZUKI Teruyoshi

  Hokkaido University

関連論文

• Optimal Default and Liquidation with Tangible Assets and Debt Renegotiation
• 2-A-1 Optimal Default and Liquidation with Tangible Assets and Debt Renegotiation
• THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY

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