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oai:ksu.repo.nii.ac.jp:00001603 2023-08-22T00:11:57Z 14:13:63

債権オプションに対するクォンタイル・ヘッジおよび期待不足額の最小化 Quantile hedging and minimizing the expected shortfall for bond options 辻井, 芳樹 20599 TSUJII, Yoshiki クォンタイル・ヘッジ，期待不足額の最小化，債権オプション，キャップレット，Ho-Lee債権モデル quantile hedging minimizing the expected shortfall bond options caplets Ho-Lee bond model Föllmer and Leukert ([2, 3]) investigated the quantile hedging problem and the shortfall risk hedging problem for options of stocks. In the first part of this paper, the quantile hedging problems for options of bonds and for caplets are formulated. We derive a formula of the success probability for Ho-Lee bond model with the market price of risk γ which is equal to σt + c where σ is the volatility and c is a constant. Furthermore a lower bound of the success probability is calculated for caplets with the market price of risk γ which is equal to σt + c. 　In the second part of this paper the shortfall risk problems for options of bonds and for caplets are formulated. We give a formula of the minimal expected shortfall for Ho-Lee bond model with the constant market price of risk. departmental bulletin paper 京都産業大学 2009-03 VoR application/pdf 京都産業大学論集. 自然科学系列 38 17 27 AA11923897 1348-3323 https://ksu.repo.nii.ac.jp/record/1603/files/AHSUSK_NSS_38_17.pdf http://hdl.handle.net/10965/492 https://ksu.repo.nii.ac.jp/records/1603 eng