排序方式: 共有8条查询结果,搜索用时 0 毫秒
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Kenichiro Shiraya Akihiko Takahashi Toshihiro Yamada 《Asia-Pacific Financial Markets》2012,19(3):205-232
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with discrete monitoring. To the best of our knowledge, this paper is the first one that shows an analytical approximation for pricing discrete barrier options with stochastic volatility models. Furthermore, it provides numerical examples for pricing double barrier call options with discrete monitoring under Heston and λ-SABR models. 相似文献
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We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we applied our framework to polynomial local stochastic volatility models with various degrees and could replicate the swaptions market data accurately. In addition we examined the accuracy of the results by comparison with the Monte‐Carlo simulations. 相似文献
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Masakazu Miura Kenichiro Tamaki Takayuki Shiohama 《Asia-Pacific Financial Markets》2013,20(4):311-344
In the context of credit risk, the term structure models that have been studied in the literature are typically models driven by Brownian motion or standard jump diffusions. These models provide coherent modeling that is straightforward to implement. To make these models more flexible, we develop a discrete-time approximation of a continuous-time Vasicek term structure analysis with non-Gaussian and dependent innovations. Higher-order asymptotic theory enables us to evaluate the term structures of defaultable bonds. Numerical examples show that the effects of non-Gaussianity and the dependency of both risk-free rate and default process strongly influence the evaluation of defaultable bonds. As an application, we estimate the parameters of our proposed models for the Japanese corporate credit default swap market. 相似文献
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Kenichiro Hirota 《Telecommunications Policy》1982,6(4):276-282
Discussions about the future of telecommunications tend to focus on data transmission, facsimile or video communication, rather than on traditional telephony. However, the importance of telephony in society will remain unaffected for the next few decades, and it has many aspects which need attention. In this article, the share of telephones in the public network, present and future, are first reviewed, with an examination of telephone traffic growth. Second, technical possibilities for improving telephone service are pointed out. Finally, the author discusses the benefits of the evolving digital network for telephone subscribers. 相似文献
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This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price. 相似文献
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This study proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended λ‐SABR stochastic volatility models (which includes an extended SABR model as a special case). Moreover, numerical examples support the accuracy of the proposed average option pricing formula. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark Mark 31:407–439, 2011 相似文献
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This study develops a general pricing method for multiasset cross‐currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross‐currency options, cross‐currency basket options, and cross‐currency average options. Moreover, in practice, fast calibration is necessary in the option markets relevant for the underlying assets and the currency, which is also achieved in this study. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:1–19, 2014 相似文献
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