AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)

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概要

• 論文の詳細を見る

• This article provides an overview of market-based option pricing and its applications. First, two fundamental approaches for market-based option pricing from the literature are introduced. Then, three important new processes, the deterministic volatility model, the stochastic volatility model, and a model including jump, are discussed. Finally, several empirical analyses on the NIKKEI225 option market are provided as examples.

• 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

• Miyazaki Koichi

  The University Of Electro-communication

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• AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(the 50th Anniversary of the Operations Research Society of Japan)

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