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確率ボラティリティモデルに対する最適ヘッジ戦略の導出と数値計算法の研究

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確率ボラティリティモデルに対する最適ヘッジ戦略の導出と数値計算法の研究

Material type
文書・図像類
Author
新井, 拓児
Publisher
-
Publication date
2022
Material Format
Digital
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type:textBarndorff-Nielsen and Shephardモデル(BNSモデル)に対するmean-variance hedgingの導出とその数値計算法の開発を目指した。得られた成果は、(1)デジタルオプションに対するlocal risk-minimizingの導出、(2)BNS...

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科研費研究者番号 : 20349830

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Material Type
文書・図像類
Title
確率ボラティリティモデルに対する最適ヘッジ戦略の導出と数値計算法の研究
Author/Editor
新井, 拓児
Author Heading
新井, 拓児
Publication Date
2022
Publication Date (W3CDTF)
2022
Alternative Title
カクリツ ボラティリティ モデル ニ タイスル サイテキ ヘッジ センリャク ノ ドウシュツ ト スウチ ケイサンホウ ノ ケンキュウ
Kakuritsu boratiriti moderu ni taisuru saiteki hejji senryaku no dōshutsu to sūchi keisanhō no kenkyū
Research on mathematical expressions and numerical methods of optimal hedging strategies for stochastic volatility models
Periodical title
科学研究費補助金研究成果報告書
Text Language Code
jpn
eng
Subject Heading
数理ファイナンス,確率論,数値計算