Exact Solutions of a Model for Asset Prices by K. Takaoka
Exact Solutions of a Model for Asset Prices by K. Takaoka
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DOI：
10.1007/s10690-006-9022-9
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发表时间：
2004-12
影响因子：
1.7
通讯作者：
N. Ishimura;Toshio Sakaguchi
中科院分区：
文献类型：
--
作者：
N. Ishimura;Toshio Sakaguchi
我们关注的是由高冈晃一郎引入的资产价格模型，它扩展了著名的布莱克-斯科尔斯模型。对于未定权益的定价问题，在典型Delta套期保值策略下，推导了一个特殊情形下的偏微分方程。通过求解该方程，给出了一个精确的定价公式。
We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the well known Black-Scholes model. For the pricing of contingent claims, partial differential equation (PDE) is derived in a special case under the typical delta hedging strategy. We present an exact pricing formula by way of solving the equation.