| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2010: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
|
|---|
| Research Abstract |
We studied the property and numerical computation methods for solutions of diffusion equation related to diffusion processes with absorbed boundary (Dirichlet boundary) which appears in pricing knock-out derivatives. First, we studied about precise estimates of smoothness for diffusion operators with Dirichlet boundary condition, and obtained similar estimates to estimates in the case of diffusion operators without boundary conditions. Then we studied numerical computation methods for the expectation of diffusion process with an absorbed boundary. We studied a similar method to KLNV method in the case of no boundary conditions, and obtained 3rdorder approximation formula. Unfortunately Whitakker function appears in the formula,the implementation is difficult, and so we could not do the computer simulation.
|
