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Exact Solutions of a Model for Asset Prices by K. Takaoka |
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| Authors: | |
| Institution: | (1) Department of Mathematics, Graduate School of Economics, Hitotsubashi University,Kunitachi,, Tokyo 186-8601, Japan;(2) Nippon Securities Technology Co. Ltd., Daiya-Building 5, Shin-kawa 1-28-23, Tokyo 104-0033, Japan |
| Abstract: | 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. Mathematics Subject Classification(2000):91B28,35K15 |
| Keywords: | extension of the Black-Scholes model partial differential equation exact pricing formula |
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