Research on Analytical Valuation for American Options
| Project/Area Number |
23830009
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | University of Tsukuba |
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Principal Investigator |
TAKEHARA Kohta 筑波大学, システム情報系, 助教 (70611747)
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| Project Period (FY) |
2011 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2011: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | アメリカン型オプション / 漸近展開法 / 解析近似解 / 数値解法の高速化 / BSDE(Backward Stochastic Differential Equation) / BSDE |
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| Research Abstract |
In this research, we proposed analytical valuation schemes for American options, which are very important in financial practice but difficult in evaluation except for numerical one, with high accuracy and flexibility enough for practical applications. Especially, we contributed to improvement in computing accuracy and speed through i)the method for approximation of “optimal exercise region” and ii)approximation of solution to a certain type of Backward Stochastic Differential Equation satisfied by American options.
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Report
(3 results)
Research Products
(4 results)
