高見澤秀幸（筑波大学人文社会科学研究科）
	An Approximation of European Option Prices under General Diffusion Processes
		We propose a method that allows for fast computation of European option prices under general diffusion processes of the spot price. The method first obtains an analytical approximation to the characteristic function of the log spot price as the solution to the ordinary differential equation. The Fourier transform approach to the pricing of options can then be applied to models that do not originally have closed forms of the characteristic function. Numerical experiments confirm high accuracy of the approximation, except the case where a volatility parameter of the volatility process is large.