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Identifier to cite or link to this item: https://hdl.handle.net/10086/14598

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Title
Exact solutions of a model for asset prices by K. Takaoka
Creator
Creator Name
Ishimura, Naoyuki Ishimura, Naoyuki
石村, 直之 石村, 直之
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Sakaguchi, Toshihiko Sakaguchi, Toshihiko
坂口, 寿彦 坂口, 寿彦
Affiliation
Affiliation Name
Nippon Securities Technology
Rights
The original publication is available at www.springerlink.com.
Key Word
extension of the Black
Scholes model
partial differential equation
exact pricing formula
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.
Publisher
Springer Netherlands
Issued Date
2004-12
Language
English(eng)
Resource Type
journal article
Version Type
AM
Is Version OfRelation -
Related Identifier
DOI
  10.1007/s10690-006-9022-9
ISSN
1387-2834
NCID
AA11224457
Source Title
Asia Pacific Financial Markets
Volume Number
11
Issue Number
4
Page Start
445
Page End
451
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/14598