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150323s2003 xx |||||o 00| ||eng c |
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|a (DE-627)JST008423296
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|a (JST)1193231
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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1 |
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|a Kunitomo, Naoto
|e verfasserin
|4 aut
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|a On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis
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|c 2003
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
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|2 rdacarrier
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|a Kunitomo and Takahashi (1995, 2001) have proposed a new methodology, called small disturbance asymptotics, for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. It can be applicable to a wide range of valuation problems, including complicated contingent claims associated with the Black-Scholes model and the term structure model of interest rates in the Heath-Jarrow-Morton framework. Our approach can be rigorously justified by an infinite-dimensional analysis called the Watanabe-Yoshida theory on the Malliavin calculus recently developed in stochastic analysis.
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|a Copyright 2003 The Institute of Mathematical Statistics
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|a Primary 90A09
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|a Secondary 60H07
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|a Valuation of financial contingent claims
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|a Asymptotic expansion
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| 650 |
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|a Small disturbance asymptotics
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| 650 |
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|a Validity
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| 650 |
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|a Watanabe-Yoshida theory
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| 650 |
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|a Malliavin calculus
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| 650 |
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|a Business
|x Industry
|x Industrial sectors
|x Service industries
|x Legal services
|x Legal fees
|x Contingency fees
|x Contingent claims
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Interest
|x Interest rates
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| 650 |
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4 |
|a Economics
|x Economic research
|x Economic analysis
|x Economic value
|x Valuation
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Algebra
|x Polynomials
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Calculus
|x Differential calculus
|x Differential equations
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| 650 |
|
4 |
|a Mathematics
|x Mathematical procedures
|x Approximation
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Measures of variability
|x Multivariate statistical analysis
|x Covariance
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| 650 |
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4 |
|a Law
|x Civil law
|x Contract law
|x Contracts
|x Financial contracts
|x Derivative contracts
|x Options contracts
|x Call options
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| 650 |
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4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical theorems
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| 655 |
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4 |
|a research-article
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| 700 |
1 |
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|a Takahashi, Akihiko
|e verfasserin
|4 aut
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| 773 |
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8 |
|i Enthalten in
|t The Annals of Applied Probability
|d Institute of Mathematical Statistics
|g 13(2003), 3, Seite 914-952
|w (DE-627)270937838
|w (DE-600)1478737-4
|x 10505164
|7 nnns
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| 773 |
1 |
8 |
|g volume:13
|g year:2003
|g number:3
|g pages:914-952
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|u https://www.jstor.org/stable/1193231
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|d 13
|j 2003
|e 3
|h 914-952
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