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 2015/03
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H and Kijima M (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
掲載誌名 Journal of Computational Finance
掲載区分国外
巻・号・頁 18(3),pp.27-53
著者・共著者 Hideharu Funahashi, Masaaki Kijima
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.