A new computation methodology for option Greeks
| Project/Area Number |
25780200
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Tohoku University |
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Principal Investigator |
Muroi Yoshifumi 東北大学, 経済学研究科(研究院), 准教授 (90448051)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 数理ファイナンス / 金融派生商品 / 数値計算法 / デリバティブ / グリークス / 確率微分方程式 / ランダムウォーク / マリアバン解析 / オプション / 感応度 |
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| Outline of Final Research Achievements |
In order to evaluate the price of barrier options using binomial tree methods, one has to construct very high mesh trees, but it is a time consuming approach. We introduce a new very efficient algorithm to compute the price of barrier options using binomial tree methods. Computation of Greeks (sensitivity of option price) is also very important task at the financial business practices. We introduce a new approach, the discrete Malliavin calculus, to compute the sensitivity of option prices with respect to the model parameter. This method enables us to evaluate Greeks for many kinds of financial derivatives efficiently.
These results are published at the high quality peer review journals such as Journal of Computational and Applied Mathematics, European Journal of Operational Research, and Journal of Economic Dynamics and Control.
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Report
(4 results)
Research Products
(10 results)
