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
   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 Kijima M (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
掲載誌名 Applied Mathematical Finance
掲載区分国外
巻・号・頁 21(2),pp.109-139
著者・共著者 Hideharu Funahashi, Masaaki Kijima
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.