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アメリカン金利オプションの解析的近似式(数理ファイナンス, <特集>平成17年研究部会連合発表会)
An Analytical Approximation Formula for an American Interest Rate Option(Mathematical Finance, Joint Symposium of JSIAM Activity Groups 2005)
2005
Nihon Oyo Suri Gakkai ronbunshi
An Analytical Approximation Formula for an American Interest Rate Option(Mathematical Finance, Joint Symposium of JSIAM Activity Groups 2005)
. Aclosed fbrm approximation formula is derived for American cQupon bond options on the basis of the Geske − Johnson method under the assumption that the interes 七 rate follows the rational log − normal modeL Its strike − time discretization errors are esti − mated , and are found to be permissible as a rule , though they are larger than in the case of American stock options . The Geske − Johnson method would be available for estimating American interest rate options as well as fbr American stock options ,
doi:10.11540/jsiamt.15.3_335
fatcat:ot6vgrfnpne23bumbv6bnlyx7m