2010 Fiscal Year Final Research Report
Jump Diffusion Price Process and Risk Hedge Strategy
| Project/Area Number |
20500262
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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 |
Statistical science
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| Research Institution | Nanzan University |
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Principal Investigator |
TABATA Yoshio Nanzan University, ビジネス研究科, 教授 (30028047)
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| Project Period (FY) |
2008 – 2010
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| Keywords | 数理ファイナンス / 金融工学 / ジャンプ拡散過程でのインデックス・ファンド / Verhulst-Gompertz型確率微分方程式 / リスク・ヘッジ戦略 / ネットワーク外部性効果 |
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| Research Abstract |
For the passive risk hedge strategy, we present the construction method of an index-fund in the world of continuous time and the stock price with jumps. To hedge the price evolution at a sudden rise or crash of stock and commodity markets, we present a mathematical model. Under this model, we derive the valuation formulas for European call option and exchange option. A put-call-parity between the exchange call option and the put option is provided.
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