Research for fractal market influenced by stochastic volatility
| Project/Area Number |
22510161
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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 | Kanagawa University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
SHINDO Susumu 神奈川大学, 工学部, 教授 (60322533)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 確率ボラティリティ / フラクショナルブラウン運動 / ハースト指数 / 確率微分方程式 / ブラック‐ショールズ方程式 / ヨーロッパ型コールオプション / オルンシュタイン‐ウーレンベック過程 / 特異摂動 / ヨーロピアン・コールオプション / 急速と遅速のマルチスケール / ブラック・ショールズ方程式 / オルンシュタイン・ウーレンベック過程 / オプションの価格付け問題 / インプライドボラティリティ / ヨーロピアン・コール / オプション価格 |
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| Research Abstract |
In the financial model derived by Black, F. and Scholes, M. (1973), the volatility, which represents the degree of randomness of the asset price, is quantified by a constant parameter. In this research, to obtain a more realistic model, the volatilities are formulated by fractional stochastic processes which have statistic self-similarity and dependence on the memory to the past. Moreover, in the case when the volatility-driving processes have the ‘long and short term-memories’ and the ‘fast and slow mean-reversions’, we solved the problem for option pricing in financial derivatives.
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Report
(4 results)
Research Products
(58 results)
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[Presentation] 漫画の著作権管理方法の研究2010
Author(s)
川島怜, 佐々木太良, 成田清正
Organizer
電子情報通信学会2010年ソサイエティ大会
Place of Presentation
大阪府立大学(大阪府)
Year and Date
2010-09-15
Related Report
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