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東京確率論セミナー
過去の記録 ～05/01｜次回の予定｜今後の予定 05/02～
| 開催情報 | 月曜日 16:00～17:30 数理科学研究科棟(駒場) 126号室 |
|---|---|
| 担当者 | 佐々田槙子、中島秀太（明治大学）、星野壮登（東京科学大学） |
| セミナーURL | https://sites.google.com/view/tokyo-probability-seminar23/ |
2017年06月19日(月)
16:00-17:30 数理科学研究科棟(駒場) 126号室
石谷 謙介 氏 (首都大学東京 大学院理工学研究科)
Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (JAPANESE)
石谷 謙介 氏 (首都大学東京 大学院理工学研究科)
Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (JAPANESE)
[ 講演概要 ]
In this presentation, we present a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in the computation of first-order Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.
In this presentation, we present a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in the computation of first-order Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.
