Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第45回ISCIE「確率システム理論と応用」国際シンポジウム(2013年11月, 沖縄)
Discrete Stochastic Calculus and Its Application to Pricing a Certain Type of Lookback Options
Takahiko FUJITAMizuki SUGA
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2014 年 2014 巻 p. 113-119

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In this paper, first as a basic formula for the discrete stochastic calculus , we give the multidimensional version of the discrete Itˆo formula. Then we price a certain type of lookback options in the discrete Black Sholes Model and find the discrete hedging strategy of these exotic options. We note that these results are concrete example of discrete Kennedy martingales.
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© 2014 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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