(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
