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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 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2015/03 |
| 形態種別 | 学術雑誌 |
| 査読 | 査読あり |
| 標題 | Funahashi, H. and M. Kijima (2015), "A Chaos Expansion Approach for the Pricing of Contingent Claims," Journal of Computational Finance, 18(3), 27-53 |
| 執筆形態 | 共著 |
| 掲載区分 | 国外 |
| 概要 | In this paper, we propose an approximation method based on the Wiener-Ito chaos expansion for the pricing of European-style contingent claims. Our method is applicable to the general class of continuous Markov processes. The resulting approximation formula requires at most three-dimensional numerical integration. It will be shown through numerical examples that the accuracy of our approximation remains quite high, even for the case of high volatility and long maturity. |
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