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 2021
形態種別 その他論文
査読 査読あり
標題 Funahashi H (2021), "Replication Scheme for the pricing of European Options," International Journal of Theoretical and Applied Finance, forthcoming.
執筆形態 単著
掲載誌名 International Journal of Theoretical and Applied Finance
掲載区分国外
著者・共著者 Hideharu Funahashi
概要 This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simpler diffusion process with a known analytical solution for the European option. For this purpose, we derive six functions that characterize the density function of a diffusion process, for both the original and simpler processes and match these functions so that the latter mimics the former. Using the analytical formula, we then approximate the option price of the target asset. By comparison with previous works and numerical experiments, we show that the accuracy of our approximation is high, and the calculation is fast enough for practical purposes; hence, it is suitable for calibration purposes.