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統計数学セミナー
過去の記録 ～04/18｜次回の予定｜今後の予定 04/19～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2006年08月22日(火)
16:50-18:00 数理科学研究科棟(駒場) 128号室
Delphine DAVID 氏 (Departement de Mathematiques, Universite de La Rochelle)
A computation of Theta in a jump diffusion model by integration by parts
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/08.html
Delphine DAVID 氏 (Departement de Mathematiques, Universite de La Rochelle)
A computation of Theta in a jump diffusion model by integration by parts
[ 講演概要 ]
Using Malliavin weights in a jump-diffusion model we obtain an expression for Theta (the sensitivity of an option price with respect to the time remaining until exercise), with application to non-smooth payoff functions. Optimal weights are computed by minimization of variance and numerical simulations are presented for digital and European options. Some results are also presented for Asian options. Our representation formula for Theta differs in general from the one obtained from the Black-Scholes PDE in terms of Delta and Gamma.
[ 参考URL ]Using Malliavin weights in a jump-diffusion model we obtain an expression for Theta (the sensitivity of an option price with respect to the time remaining until exercise), with application to non-smooth payoff functions. Optimal weights are computed by minimization of variance and numerical simulations are presented for digital and European options. Some results are also presented for Asian options. Our representation formula for Theta differs in general from the one obtained from the Black-Scholes PDE in terms of Delta and Gamma.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/08.html
