Option Pricing in HJM Model using an Asymptotic Expansion Method
نویسندگان
چکیده
* This is the English version of the paper titled "Option Pricing in HJM Model using an Asymptotic Expansion Method" published in December 2004. This paper represents the personal views of the authors and is NOT the official view of the Financial Services Agency or the Financial Research and Training Center. † In preparing this paper, valuable advice was provided by Mr. Yoshihiko Uchida (Institute for Monetary and Economic Studies, Bank of Japan). ‡ Associate Professor, Graduate School of Economics, University of Tokyo and Special Research Fellow at the Financial Research and Training Center, Financial Services Agency § Sumitomo Life Insurance Company
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