竹内 敦司

The purpose of this paper is to derive the Greeks formulas of Delta, Gamma, Vega and Theta for derivative securities with both continuous and discontinuous payoff structures under asset price dynamics described by stable and tempered stable proces...

Consider stochastic functional differential equations depending on whole past histories in a finite time interval, which determine non-Markovian processes. Under the uniformly elliptic condition on the coefficients of the diffusion terms, the solu...