Exact solutions of a model for asset prices by K. Takaoka
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概要
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We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the well known Black-Scholes model. For the pricing of contingent claims, partial differential equation (PDE) is derived in a special case under the typical delta hedging strategy. We present an exact pricing formula by way of solving the equation.
- Springer Netherlandsの論文
- 2004-12-00
Springer Netherlands | 論文
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