Art
J-GLOBAL ID：200902224067584705   Reference number：08A0031866

AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS

市場オプション価格決定への案内とその適用例
Author (1)：
MIYAZAKI Koichi

About MIYAZAKI Koichi

(Univ. Electro-Communication)

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Material：
Journal of the Operations Research Society of Japan  (日本オペレーションズ・リサーチ学会論文誌)

About Journal of the Operations Research Society of Japan


Volume： 50  Issue： 4  Page： 488-514  Publication year： Dec. 2007 
JST Material Number： G0402A  ISSN： 0453-4514  Document type： Article
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)
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*pricing

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,...
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Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
オプション価格

About オプション価格


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JST classification (1)：
JST classification
Category name(code) classified by JST.
Profit management 
(KA05030A)

About Profit management

Reference (55)：
  • 1) ALBANESE C. Unifying volatility models. Risk. (2004) vol.March, p.94-98.
  • 2) ANDERSEN L. Jumping smiles. Risk. (1999) vol.November, p.65-68.
  • 3) ARROW K. J. The role of securities in the optimal allocation of risk-bearing. Review of Economic Studies. (1964) vol.31, p.91-96.
  • 4) BARNDORFF-NIELSEN O. E. Processes of normal inverse Gaussian type. Finance & Stochastics. (1998) vol.2, p.41-68.
  • 5) BRIGO D. A mixed-up smile. Risk. (2000) vol.September, p.123-126.
ｍore...
Terms in the title (2)：
Terms in the title
Keywords automatically extracted from the title.
市場

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, 
オプション価格

About オプション価格


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