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統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Thursday July 3 2003 Tokyo 118 4:30-5:30 pm
漸近分布論のファイナンスへの応用 1
林 高樹 / HAYASHI, Takaki コロンビア大学 / Columbia University Abstract 原資産価格が伊藤過程に従う場合に,
離散時間においてヘッジ-オペレーションを行った際の
デリバティブのヘッジ誤差の "small interval asymptotics" を考える.
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