Asymptotic static hedging of a timing risk
| Project/Area Number |
26780193
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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 | Tokyo University of Science (2016-2017)
Ritsumeikan University (2014-2015) |
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Principal Investigator |
Imamura Yuri 東京理科大学, 経営学部ビジネスエコノミクス学科, 助教 (40633194)
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | タイミングリスク / 静的ヘッジ / バリアーオプション / Ｐｕｔ－Ｃａｌｌ対称化 / 漸近展開 / 拡散過程 / 確率微分方程式 / parametrix / Put-Call対称性 / パラメトリックス / SABRモデル / Put-Call 対称性 |
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| Outline of Final Research Achievements |
Timing risk is an uncertainty associated to the instant at which the payoff payment of derivative is executed.This project proposes a methodology to hedge it via static positions in derivatives without timing risk (plain vanilla options) under a multi-dimensional diffusion model of underlying price dynamics.
We gave a decomposition of a generalized timing risk into an integral of knock-in options, by considering not only first order hedges but also higher orders (asymptotic expansion) and the related convergence results.
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Report
(5 results)
Research Products
(14 results)
