2017 Fiscal Year Final Research Report
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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| 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 |
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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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| Free Research Field |
数理ファイナンス
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