2013 Fiscal Year Final Research Report
Research on non-linear pricing of assets
| Project/Area Number |
22510153
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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 |
Social systems engineering/Safety system
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
TANAKA Keiichi 首都大学東京, 社会(科)学研究科, 教授 (00381442)
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| Project Period (FY) |
2010-10-20 – 2014-03-31
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| Keywords | ファイナンス |
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| Research Abstract |
We conducted a research on non-linear asset pricing models. A non-linear pricing is related to an idea of aversion to uncertainty. We focused on the uncertainty of regime switching intensities to avoid. An investor's decision problem under an environment with regime switching parameters in infinite time horizon has been solved. We also studied pricing models under which the dynamics of the short interest rates is regime switched among several models. We obtained the prices of zero-coupon bond and other contingent claims under the model.
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Research Products
(14 results)
