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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 | 2021/05 |
| 形態種別 | 学術雑誌 |
| 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, 24(3), 2150014 |
| 執筆形態 | 単著 |
| 掲載区分 | 国外 |
| 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. |
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