Research on non-linear pricing of assets
| Project/Area Number |
22510153
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
TANAKA Keiichi 首都大学東京, 社会(科)学研究科, 教授 (00381442)
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| Project Period (FY) |
2010-10-20 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | ファイナンス / レジームスイッチ / リスク測度 / 無差別価格 |
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| Research Abstract |
We conducted a research on non-linear asset pricing models. A non-linear pricing is related to an idea of aversion to uncertainty. We focused on the uncertainty of regime switching intensities to avoid. An investor's decision problem under an environment with regime switching parameters in infinite time horizon has been solved. We also studied pricing models under which the dynamics of the short interest rates is regime switched among several models. We obtained the prices of zero-coupon bond and other contingent claims under the model.
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Report
(5 results)
Research Products
(25 results)
