研究者情報 | 神奈川大学

フナハシ　ヒデハル Funahashi Hideharu 舟橋　秀治所属神奈川大学経済学部経済学科/現代ビジネス学科神奈川大学大学院経済学研究科経済学専攻（公共政策コース）職種准教授
言語種別	英語
発行・発表の年月	2014/05
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and M. Kijima (2014), "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options,"Applied Mathematical Finance, 21(2), 109-139
執筆形態	共著
掲載区分	国外
概要	Funahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent claims, Journal of Computational Finance) have proposed an approximation method based on the Wiener-Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the method to the multi-asset case with general local volatility structure for the pricing of exotic basket options such as Asian basket options. Through ample numerical experiments, we show that the accuracy of our approximation remains quite high even for a complex basket option with long maturity and high volatility.