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Option Pricing Models for Illiquid Assets
https://uec.repo.nii.ac.jp/records/6905
https://uec.repo.nii.ac.jp/records/6905e4d516b8-1cd6-4b64-9a31-bbbb50dffa8e
名前 / ファイル | ライセンス | アクション |
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9000000215.pdf (435.3 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-02-18 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Option Pricing Models for Illiquid Assets | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Applied probability | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Finance | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Option pricing | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Liquidity risk | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Execution impact | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
Miyazaki, Koichi
× Miyazaki, Koichi |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, option pricing models for illiquid assets are provided. The price process of the illiquid asset is specified as either a provisional price process or an execution price process. The execution price is constructed simply by adding the market preference and execution impact at the time of the execution to the provisional price process. Using this definition of the execution price, a closed-form pricing formula is derived for a single European put option, as well as for plural options of various maturities and/or strike prices. Convenient pricing formulas requiring a single numerical integration are also obtained. The results of sensitivity analyses provide positive support for this modeling approach. | |||||
書誌情報 |
ja : 電気通信大学紀要 巻 21, 号 1-2, p. 79-98, 発行日 2009-01-15 |
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出版者 | ||||||
出版者 | 電気通信大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0915-0935 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |