Research on the valuation model of derivatives for construction of stable society
| Project/Area Number |
20810038
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| Research Category |
Grant-in-Aid for Young Scientists (Start-up)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Meijo University |
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Principal Investigator |
SUZUKI Atsuo Meijo University, 都市情報学部, 助教 (60513702)
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| Project Period (FY) |
2008 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥3,029,000 (Direct Cost: ¥2,330,000、Indirect Cost: ¥699,000)
Fiscal Year 2009: ¥1,248,000 (Direct Cost: ¥960,000、Indirect Cost: ¥288,000)
Fiscal Year 2008: ¥1,781,000 (Direct Cost: ¥1,370,000、Indirect Cost: ¥411,000)
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| Keywords | 数理ファイナンス / 金融工学 / 確率モデル / オプション評価 |
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| Research Abstract |
I considered a model of valuing callable financial commodities which enable both an issuer and an investor to exercise their rights, respectively. I showed that such a model can be formulated as a coupled stochastic game for the optimal stopping problem with two reflecting barriers.
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Report
(3 results)
Research Products
(13 results)
