Masatoshi Miyake

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On the assumption that asset value of a company is the sum of total market value of stock and debt value, we estimate a mean value and variance of the sum with the first moment and second moment. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follows geometric Brownian motion. Then we construct(More)
Average options are path-dependent and have payoffs which depend on the average price over a fixed period leading up to the maturity date. This option is of interest and important for thinly-traded assets since price manipulation is prohibited, and both the investor and issuer may enjoy a certain degree of protection from the caprice of the market. There(More)