| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2010: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2009: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2008: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Research Abstract |
For the passive risk hedge strategy, we present the construction method of an index-fund in the world of continuous time and the stock price with jumps. To hedge the price evolution at a sudden rise or crash of stock and commodity markets, we present a mathematical model. Under this model, we derive the valuation formulas for European call option and exchange option. A put-call-parity between the exchange call option and the put option is provided.
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