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 2015/06
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H (2015), "An Analytical Approximation of European Option Prices under Stochastic Interest Rate," International Journal of Theoretical and Applied Finance, 18(4), 1-43
執筆形態 単著
掲載誌名 International Journal of Theoretical and Applied Finance
掲載区分国外
巻・号・頁 18(4),pp.1-43
著者・共著者 Hideharu Funahashi
概要 This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi & Kijima (2015) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile of option markets, as well as the stochastic nature of interest rates. Further, the proposed method is applicable to widely used option pricing models such as local volatility models (LVM), stochastic volatility models (SVM), and their combinations with the stochastic nature of interest rates; hence, it is suitable for practical purposes. Through numerical examples, we show that our approximation is quite accurate even for long-maturity and/or high-volatility cases.