著者

Adachi Takanori Miura Ryozo Nakagawa Hidetoshi

出版者

Graduate School of Mathematical Sciences, The University of Tokyo

雑誌

Journal of Mathematical Sciences, The University of Tokyo (ISSN:13405705)

巻号頁・発行日

vol.20, no.1, 2013-07-11

---

We introduce a stochastic process called a follower process consisting of a non-decreasing sequence of random times ft whose values do not exceed t. It was originally introduced for representing information delay in structural credit risk models. The follower process is an extension of a time change process introduced by Guo, Jarrow and Zeng in the sense that each component of the follower process is not required to be a stopping time. We introduce a class of follower processes called idempotent, which contains natural examples including follower processes driven by renewal processes. We show that any idempotent follower process is hard to be an example of time change processes. We define a filtration modulated by the follower process and show that it is a natural extension of the continuously delayed filtration that is the filtration modulated by the time change process. We show that conditional expectations given idempotent follower filtrations have some Markov property in a binomial setting, which is useful for pricing defaultable financial instruments.

著者

Karamatov Navruzbek Miura Ryozo

出版者

東北大学大学院経済学研究科

雑誌

DSSR Discussion Papers

巻号頁・発行日

no.99, pp.1-67, 2019-07

著者

Fujita Takahiko Miura Ryozo

出版者

Springer Netherlands

雑誌

Asia Pacific Financial Markets (ISSN:13872834)

巻号頁・発行日

vol.9, no.2, pp.141-151, 2002-06

被引用文献数

11

---

In this paper, we will give a new framework of barrier options to generalize 'Parisian Option' and 'Delayed Barrier Option'. Take a stopping time τ as the caution time. When τ occurs, derivatives are given 'Caution'. After τ , if K.O. time σ = σ(τ ) occurs, derivative contracts vanish. We simply say that first 'Caution' second 'K.O.'. Using this framework, designs of barrier options become more flexible than before and new risk management will be possible. New barrier options in this category are called Edokko Options or Tokyo Options.

著者

Louhichi Sana Miura Ryozo Volny Dalibor

出版者

東北大学大学院経済学研究科

雑誌

DSSR Discussion Papers

巻号頁・発行日

no.49, pp.1-20, 2015-10-23