東京大学金融教育研究センター
Japanese
English
Center for Advanced Research in Finance
お問い合わせ
サイトマップ
サイト検索
CARFホーム
センター紹介
ファカルティ
ワーキングペーパー
リサーチ
世界からのメッセージ
アクセス・マップ
リンク集
ワーキングペーパー
分類番号: CARF-F-352
発表時期: 2014 10
タイトル: An FBSDE approach to American option pricing with an interacting particle method (Revised version of CARF-F-302; Forthcoming in "Asia-Pacific Financial Markets")
著者: Masaaki Fujii, Seisho Sato, Akihiko Takahashi
Abstract:

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic di erential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise premium can be cast into the form of a decoupled non-linear FBSDE. We numerically solve the FBSDE by applying an interacting particle method recently proposed by Fujii & Takahashi (2012c), which allows one to perform a Monte Carlo simulation in a fully forward-looking manner. We perform the fourth-order analysis for the Black-Scholes (BS) model and the third-order analysis for the Heston model. The comparison to those obtained from existing tree algorithms shows the e ectiveness of the particle method.

ファイル(PDF): full paper
ワーキングペーパー トップ
Copyright (C) Center for Advanced Research in Finance (CARF)