Exact solutions of a model for asset prices by K. Takaoka
- Ishimura, Naoyuki
- Sakaguchi, Toshihiko
- 石村, 直之
- 坂口, 寿彦
Publication date
December 2004
DOI Publisher
Springer Science and Business Media LLC ISSN
1387-2834 Journal
Asia-Pacific Financial Markets Citation count (estimate)
3Abstract
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
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