研究者情報 | 神奈川大学

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
言語種別	英語
発行・発表の年月	2017/10
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and M. Kijima (2017), "A Unified Approach for the Pricing of Generalized Asian Options," Review of Derivatives Research, 20(3), 203 - 229
執筆形態	共著
掲載区分	国外
概要	In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of any type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.