Jump Diffusion Price Process and Risk Hedge Strategy
Project/Area Number |
20500262
|
Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Single-year Grants |
Section | 一般 |
Research Field |
Statistical science
|
Research Institution | Nanzan University |
Principal Investigator |
TABATA Yoshio Nanzan University, ビジネス研究科, 教授 (30028047)
|
Project Period (FY) |
2008 – 2010
|
Project Status |
Completed (Fiscal Year 2010)
|
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)
|
Keywords | 数理ファイナンス / 金融工学 / ジャンプ拡散過程でのインデックス・ファンド / Verhulst-Gompertz型確率微分方程式 / リスク・ヘッジ戦略 / ネットワーク外部性効果 / Levy過程 / ネットワーク外部性 / Verhult-Gompertz equation / Jump Process / ジヤンプ過程 / インデックスファンド / レヴー過程 / 最適制御 / ヘツジ戦略 / 下向きのジャンプ株価過程 / リスクヘッジ |
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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Report
(4 results)
Research Products
(18 results)