An Integration by Parts Type Formula for Stopping Times and its Application

研究成果: Research - 審査Article

抄録

In this article, we shall prove an integration by parts (IBP) type formula for stopping times. In order to obtain the formula, we will first construct a process which works as if it is an “alarm clock” telling us whether the stopping times are already achieved or not. Then, we shall use the Girsanov theorem. Applications of the formula to the numerical computation of the risk called the delta for options depending on the stopping times will be also considered and show the gain of efficiency compared with a classical method.

言語English
ページ751-773
Number of pages23
ジャーナルMethodology and Computing in Applied Probability
Volume19
3
DOIs
StatePublished - 2017 9 1
外部発表Yes

Keywords

    ASJC Scopus subject areas

    • Statistics and Probability
    • Mathematics(all)

    これを引用

    An Integration by Parts Type Formula for Stopping Times and its Application. / Nakatsu, Tomonori.

    :: Methodology and Computing in Applied Probability, 巻 19, 番号 3, 01.09.2017, p. 751-773.

    研究成果: Research - 審査Article

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