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	2017
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and M. Kijima (2017), "An Analytical Approximation for the Pricing of VWAP Options," Quantitative Finance, 17(7), 1119 - 1133.
執筆形態	共著
掲載区分	国外
概要	This paper proposes a unified approximation method for various options whose pay-offs depend on the volume weighted average price (VWAP). Despite their popularity in practice, very few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has been restricted to a geometric Brownian motion. In contrast, our method is applicable to the general class of continuous Markov processes such as local volatility models. Moreover, our method can be used for any type of VWAP options with fixed-strike, floating-strike, continuously sampled, discretely sampled, forward-start and in-progress transactions.