2012 Fiscal Year Final Research Report
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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| 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) |
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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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