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 2017
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H and Kijima M (2017), "An Analytical Approximation for the Pricing of VWAP Options," Quantitative Finance, 17(7), 1119-1133
執筆形態 共著
掲載誌名 Quantitative Finance
掲載区分国外
巻・号・頁 17(7),pp.1119-1133
著者・共著者 Hideharu Funahashi, Masaaki Kijima
概要 This paper proposes a unified approximation method for various options whose pay-offs depend on the volume weighted average price (VWAP). Despite their popularity in practice, very few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has been restricted to a geometric Brownian motion. In contrast, our method is applicable to the general class of continuous Markov processes such as local volatility models. Moreover, our method can be used for any type of VWAP options with fixed-strike, floating-strike, continuously sampled, discretely sampled, forward-start and in-progress transactions.