{"id":208186,"date":"2026-09-26T18:50:00","date_gmt":"2026-09-26T09:50:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208186"},"modified":"2026-09-25T19:36:19","modified_gmt":"2026-09-25T10:36:19","slug":"notation-map","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/notation-map\/","title":{"rendered":"\u7b2c6\u56de \u8a18\u53f7\u30a2\u30ec\u30eb\u30ae\u30fc\u3092\u6d88\u3059 \u2015 \u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u4f7f\u3046\u8a18\u53f7\u306e\u5730\u56f3"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c1\u90e8 \u7b2c6\u56de \/ \u524d\u63d0: \u7b2c1\u301c5\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u6559\u79d1\u66f8\u3067\u898b\u6163\u308c\u306a\u3044\u8a18\u53f7\u306b\u51fa\u4f1a\u3063\u3066\u3082\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u306e\u8a18\u53f7\u306b\u8aad\u307f\u66ff\u3048\u308b\u3053\u3068\u304c\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u540c\u3058\u6587\u5b57\u304c\u5225\u306e\u610f\u5473\u3067\u4f7f\u308f\u308c\u308b<\/h2>\n\n\n\n

\u30b9\u30fc\u30d1\u30fc\u306e\u68da\u306b\u300c\u304a\u9162\u300d\u3068\u66f8\u304b\u308c\u305f\u74f6\u304c\u4e26\u3093\u3067\u3044\u308b\u3068\u3057\u307e\u3059\u3002\u6599\u7406\u7528\u306e\u7a40\u7269\u9162\u3082\u3042\u308c\u3070\u3001\u6383\u9664\u7528\u306e\u30af\u30a8\u30f3\u9178\u6eb6\u6db2\u3082\u3042\u308a\u307e\u3059\u3002\u30e9\u30d9\u30eb\u306b\u300c\u9162\u300d\u3068\u3057\u304b\u66f8\u3044\u3066\u3044\u306a\u3051\u308c\u3070\u3001\u9593\u9055\u3048\u3066\u6383\u9664\u7528\u3092\u934b\u306b\u5165\u308c\u3066\u3057\u307e\u3046\u304b\u3082\u3057\u308c\u307e\u305b\u3093\u3002\u540d\u524d\u304c\u540c\u3058\u3067\u3082\u4e2d\u8eab\u304c\u9055\u3046\u3001\u3068\u3044\u3046\u306e\u306f\u53f0\u6240\u3060\u3051\u306e\u8a71\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

\u91d1\u878d\u6570\u5b66\u306e\u6559\u79d1\u66f8\u306b\u3082\u3001\u307e\u3063\u305f\u304f\u540c\u3058\u3053\u3068\u304c\u8d77\u304d\u3066\u3044\u307e\u3059\u3002\u305f\u3068\u3048\u3070\u30a2\u30eb\u30d5\u30a1\u30d9\u30c3\u30c8\u306e\u300c\u30c7\u30a3\u30fc\u300d\u3068\u3044\u3046\u6587\u5b57\u306f\u3001\u3042\u308b\u6559\u79d1\u66f8\u3067\u306f\u300c\u5c06\u6765\u306e\u304a\u91d1\u3092\u4eca\u306e\u4fa1\u5024\u306b\u76f4\u3059\u639b\u3051\u7387\u300d\u3068\u3057\u3066\u4f7f\u308f\u308c\u3001\u5225\u306e\u6559\u79d1\u66f8\u3067\u306f\u300c\u50b5\u5238\u306e\u5e73\u5747\u7684\u306a\u56de\u53ce\u671f\u9593\u300d\u3068\u3057\u3066\u4f7f\u308f\u308c\u3066\u3044\u307e\u3059\u3002\u3069\u3061\u3089\u3082\u91d1\u5229\u306e\u8a71\u306b\u51fa\u3066\u304f\u308b\u306e\u3067\u3001\u540c\u3058\u30da\u30fc\u30b8\u306b\u4e26\u3076\u3053\u3068\u3059\u3089\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

\u5b9f\u969b\u306b\u6570\u5b57\u3092\u5165\u308c\u3066\u307f\u308b\u3068\u3001\u6016\u3055\u304c\u3088\u304f\u5206\u304b\u308a\u307e\u3059\u3002\u5e74\u52295\u30d1\u30fc\u30bb\u30f3\u30c8\u3001\u6e80\u671f2\u5e74\u3067\u8a08\u7b97\u3059\u308b\u3068\u3001\u639b\u3051\u7387\u306e\u307b\u3046\u306f\u7d040.907\u3067\u3059\u3002\u4e00\u65b9\u3001\u984d\u9762100\u3001\u5e741\u56de\u5229\u6255\u30445\u30d1\u30fc\u30bb\u30f3\u30c8\u306e2\u5e74\u50b5\u306e\u5e73\u5747\u56de\u53ce\u671f\u9593\u306f\u7d041.95\u3067\u3059\u3002\u3069\u3061\u3089\u3082\u540c\u3058\u6587\u5b57\u3067\u66f8\u304b\u308c\u3066\u3044\u305f\u3089\u3001\u5f0f\u306e\u9014\u4e2d\u30670.907\u306a\u306e\u304b1.95\u306a\u306e\u304b\u5224\u65ad\u304c\u3064\u304d\u307e\u305b\u3093\u3002\u8a08\u7b97\u3092\u9593\u9055\u3048\u3066\u3082\u3001\u3069\u3053\u3067\u9593\u9055\u3048\u305f\u304b\u898b\u3064\u3051\u3089\u308c\u306a\u3044\u306e\u3067\u3059\u3002<\/p>\n\n\n\n

\u554f\u984c\u306e\u6839\u306f\u5358\u7d14\u3067\u3059\u3002\u3072\u3068\u3064\u306e\u6587\u5b57\u306b\u3075\u305f\u3064\u306e\u610f\u5473\u3092\u6301\u305f\u305b\u3066\u3044\u308b\u3053\u3068\u3067\u3059\u3002\u639b\u3051\u7387\u306e\u307b\u3046\u306b\u306f\u5f15\u6570\u3092\u4ed8\u3051\u3066\u66f8\u304d\u3001\u5e73\u5747\u56de\u53ce\u671f\u9593\u306e\u307b\u3046\u306b\u306f\u6dfb\u5b57\u3092\u4ed8\u3051\u3066\u66f8\u304f\u3002\u305d\u308c\u3060\u3051\u3067\u6df7\u540c\u306f\u6d88\u3048\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u3001\u6700\u521d\u306b\u8a18\u53f7\u3092\u3059\u3079\u3066\u6c7a\u3081\u3066\u3001\u6700\u5f8c\u307e\u3067\u5909\u3048\u307e\u305b\u3093\u3002\u3072\u3068\u3064\u306e\u8a18\u53f7\u306b\u306f\u3072\u3068\u3064\u306e\u610f\u5473\u3060\u3051\u3092\u5272\u308a\u5f53\u3066\u307e\u3059\u3002\u3053\u306e\u56de\u306f\u3001\u305d\u306e\u8a18\u53f7\u306e\u4e00\u89a7\u8868\u3067\u3059\u3002\u5148\u306b\u9032\u3093\u3067\u8a18\u53f7\u304c\u5206\u304b\u3089\u306a\u304f\u306a\u3063\u305f\u3089\u3001\u3044\u3064\u3067\u3082\u3053\u3053\u306b\u623b\u3063\u3066\u304d\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u6570\u5f0f\u304c\u8aad\u3081\u306a\u3044\u306e\u306f\u8a18\u53f7\u304c\u539f\u56e0\u306e\u3053\u3068\u304c\u591a\u3044<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u6559\u79d1\u66f8\u3067\u898b\u6163\u308c\u306a\u3044\u8a18\u53f7\u306b\u51fa\u4f1a\u3063\u3066\u3082\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u306e\u8a18\u53f7\u306b\u8aad\u307f\u66ff\u3048\u308b\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u91d1\u878d\u6570\u5b66\u306e\u6559\u79d1\u66f8\u3092\u958b\u3044\u305f\u3068\u304d\u3001\u6700\u521d\u306b\u58c1\u306b\u306a\u308b\u306e\u306f\u6570\u5f0f\u306e\u96e3\u3057\u3055\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u8a18\u53f7\u306e\u610f\u5473\u304c\u5206\u304b\u3089\u306a\u3044<\/strong>\u3053\u3068\u3067\u3059\u3002<\/span>D<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u3044\u3066\u3042\u308b\u306e\u304c\u5272\u5f15\u4fc2\u6570\u306a\u306e\u304b\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306a\u306e\u304b\u3001<\/span>C<\/span><\/span><\/span><\/span><\/eq> \u304c\u30b3\u30fc\u30eb\u4fa1\u683c\u306a\u306e\u304b\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u306a\u306e\u304b\u3002\u6587\u8108\u3067\u5224\u65ad\u3057\u308d\u3068\u8a00\u308f\u308c\u3066\u3082\u3001\u6587\u8108\u3092\u7406\u89e3\u3059\u308b\u524d\u306b\u8a18\u53f7\u3067\u6b62\u307e\u3063\u3066\u3057\u307e\u3048\u3070\u5148\u306b\u9032\u3081\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

\u6559\u79d1\u66f8\u3054\u3068\u306b\u8a18\u53f7\u304c\u9055\u3046\u306e\u3082\u6df7\u4e71\u306e\u539f\u56e0\u3067\u3059\u3002\u30d6\u30e9\u30a6\u30f3\u904b\u52d5\u3092 <\/span>B<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304f\u672c\u3082\u3042\u308c\u3070 <\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304f\u672c\u3082\u3042\u308a\u307e\u3059\u3002\u540c\u3058\u8457\u8005\u3067\u3082\u7ae0\u306b\u3088\u3063\u3066\u8a18\u53f7\u3092\u4f7f\u3044\u56de\u3059\u3053\u3068\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u3001\u8a18\u53f7\u3092\u6700\u521d\u306b\u5168\u90e8\u6c7a\u3081\u3066\u3001\u6700\u5f8c\u307e\u3067\u5909\u3048\u306a\u3044<\/strong>\u65b9\u91dd\u3092\u63a1\u308a\u307e\u3059\u3002\u3053\u306e\u8a18\u4e8b\u306f\u305d\u306e\u8a18\u53f7\u306e\u4e00\u89a7\u3067\u3059\u3002\u5168\u90e8\u3092\u6697\u8a18\u3059\u308b\u5fc5\u8981\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u8aad\u307f\u9032\u3081\u3066\u300c\u3053\u306e\u8a18\u53f7\u306f\u4f55\u3060\u3063\u305f\u304b\u300d\u3068\u601d\u3063\u305f\u3068\u304d\u306b\u3001\u3053\u3053\u306b\u623b\u3063\u3066\u304f\u308b\u305f\u3081\u306e\u8f9e\u66f8\u3067\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u306f\u3001\u8a18\u53f7\u30923\u3064\u306e\u7fa4\u306b\u5206\u3051\u305f\u4e00\u89a7\u8868\u3092\u793a\u3057\u3001\u885d\u7a81\u3057\u3084\u3059\u3044\u8a18\u53f7\u306e\u66f8\u304d\u5206\u3051\u30eb\u30fc\u30eb\u3092\u8aac\u660e\u3057\u3001\u4ed6\u306e\u6559\u79d1\u66f8\u3068\u306e\u8aad\u307f\u66ff\u3048\u8868\u3092\u4ed8\u3051\u307e\u3059\u3002<\/p>\n\n\n\n

2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 \u8a18\u53f7\u3092\u3069\u3046\u6c7a\u3081\u308b\u304b<\/h2>\n\n\n\n

\u8a18\u53f7\u3092\u6c7a\u3081\u308b\u306b\u3042\u305f\u3063\u3066\u3001\u6b21\u306e\u65b9\u91dd\u3092\u5b88\u3063\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

    \n\n
  • \u3053\u306e\u56de\u3067\u6319\u3052\u308b\u8a18\u53f7\u306f\u3001\u30b7\u30ea\u30fc\u30ba\u5168\u4f53\u306e\u8a18\u6cd5\u30d5\u30a1\u30a4\u30eb\uff08notation.md\uff09\u3068\u5b8c\u5168\u306b\u4e00\u81f4\u3055\u305b\u307e\u3059\u3002<\/strong> \u8a18\u4e8b\u3067\u4f7f\u3046\u8a18\u53f7\u3068\u8a18\u6cd5\u30d5\u30a1\u30a4\u30eb\u304c\u305a\u308c\u308b\u3053\u3068\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/li>\n\n\n
  • \u672a\u5b9a\u7fa9\u306e\u8a18\u53f7\u306f\u8f09\u305b\u307e\u305b\u3093\u3002<\/strong> \u5f8c\u306e\u56de\u3067\u5c0e\u5165\u3059\u308b\u8a18\u53f7\u306f\u3001\u305d\u306e\u56de\u756a\u53f7\u3092\u6dfb\u3048\u3066\u4e88\u544a\u306b\u3068\u3069\u3081\u307e\u3059\u3002<\/li>\n\n\n
  • \u8a18\u53f7\u306e\u610f\u5473\u306f1\u3064\u306b\u56fa\u5b9a\u3057\u307e\u3059\u3002<\/strong> \u6587\u8108\u306b\u3088\u3063\u3066\u540c\u3058\u8a18\u53f7\u304c\u5225\u306e\u610f\u5473\u306b\u306a\u308b\u3053\u3068\u306f\u3057\u307e\u305b\u3093\u3002\u540c\u3058\u6587\u5b57\u30922\u3064\u306e\u6982\u5ff5\u306b\u4f7f\u3044\u305f\u304f\u306a\u3063\u305f\u3089\u3001\u7247\u65b9\u306e\u66f8\u304d\u65b9\u3092\u5909\u3048\u307e\u3059\u3002<\/li>\n\n<\/ul>\n\n\n\n

    3\u3064\u76ee\u306e\u65b9\u91dd\u304c\u6700\u3082\u91cd\u8981\u3067\u3059\u30021\u3064\u306e\u6587\u5b57\u306b\u8907\u6570\u306e\u610f\u5473\u3092\u6301\u305f\u305b\u308b\u3053\u3068\u304c\u3001\u8a18\u53f7\u30a2\u30ec\u30eb\u30ae\u30fc\u306e\u6700\u5927\u306e\u539f\u56e0\u3060\u304b\u3089\u3067\u3059\u3002\u5f8c\u307b\u3069\u5177\u4f53\u7684\u306b\u3069\u306e\u6587\u5b57\u304c\u885d\u7a81\u3059\u308b\u304b\u3092\u898b\u307e\u3059\u3002<\/p>\n\n\n\n

    \u3053\u306e\u65b9\u91dd\u306b\u57fa\u3065\u3044\u3066\u3001\u8a18\u53f7\u3092\u6642\u9593\u3068\u91d1\u5229<\/strong>\u3001\u8cc7\u7523\u3068\u4fa1\u683c<\/strong>\u3001\u78ba\u7387<\/strong>\u306e3\u3064\u306e\u7fa4\u306b\u5206\u3051\u3066\u6574\u7406\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

    3. \u8a18\u53f7\u306e\u5730\u56f3<\/h2>\n\n\n\n

    \u6642\u9593\u3068\u91d1\u5229<\/h3>\n\n\n\n\n\n\n\n\n\n\n\n\n
    \u8a18\u53f7<\/th>\n\u610f\u5473<\/th>\n\u5099\u8003<\/th>\n<\/tr>\n<\/thead>\n
    <\/span>t<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6642\u523b<\/td>\n<\/span>t<\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u304c\u73fe\u5728<\/td>\n<\/tr>\n
    <\/span>T<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6e80\u671f<\/td>\n<\/td>\n<\/tr>\n
    <\/span>r<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u7121\u30ea\u30b9\u30af\u91d1\u5229<\/td>\n\u96e2\u65631\u671f\u9593\u30e2\u30c7\u30eb\u3067\u306f <\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq>\u3001\u9023\u7d9a\u6642\u9593\u3067\u306f <\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u4f7f\u3044\u307e\u3059\u3002\u4e21\u65b9\u30921\u672c\u306e\u8a18\u4e8b\u3067\u6df7\u305c\u307e\u305b\u3093<\/td>\n<\/tr>\n
    <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u5272\u5f15\u4fc2\u6570<\/td>\n\u96e2\u6563: <\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span>)<\/span><\/span>\u2212<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3001\u9023\u7d9a: <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>y<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u50b5\u5238\u306e\u6700\u7d42\u5229\u56de\u308a<\/td>\n\u5e741\u56de\u8907\u5229\u304c\u65e2\u5b9a\u3067\u3059\u3002\u9023\u7d9a\u8907\u5229\u3092\u4f7f\u3046\u56de\u3067\u306f\u660e\u793a\u3057\u307e\u3059<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

    \u8cc7\u7523\u3068\u4fa1\u683c<\/h3>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
    \u8a18\u53f7<\/th>\n\u610f\u5473<\/th>\n\u5099\u8003<\/th>\n<\/tr>\n<\/thead>\n
    <\/span>S<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u539f\u8cc7\u7523\u4fa1\u683c<\/td>\n<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>u<\/span>,<\/span><\/span>d<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u4e8c\u9805\u30e2\u30c7\u30eb\u306e\u4e0a\u6607\u7387\u30fb\u4e0b\u843d\u7387<\/td>\n<\/span>0<\/span><\/span><<\/span><\/span><\/span><\/span>d<\/span><\/span><<\/span><\/span><\/span><\/span>u<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>K<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u884c\u4f7f\u4fa1\u683c<\/td>\n<\/td>\n<\/tr>\n
    <\/span>C<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>P<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30b3\u30fc\u30eb\u30fb\u30d7\u30c3\u30c8\u4fa1\u683c<\/td>\n\u30d7\u30c3\u30c8\u306e <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u3068\u4e3b\u89b3\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u306f\u5b57\u4f53\u3067\u533a\u5225\u3057\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>X<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u4e00\u822c\u306e\u30da\u30a4\u30aa\u30d5\uff08\u78ba\u7387\u5909\u6570\uff09<\/td>\n\u4e8c\u9805\u30e2\u30c7\u30eb\u306a\u3089 <\/span>X<\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>X<\/span><\/span>u<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>X<\/span><\/span>d<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>V<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u4fa1\u5024<\/td>\n<\/td>\n<\/tr>\n
    <\/span>\u0394<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u682a\u306e\u4fdd\u6709\u91cf<\/td>\n\u30ae\u30ea\u30b7\u30e3\u6587\u5b57\u306e\u30c7\u30eb\u30bf\u3067\u3059<\/td>\n<\/tr>\n
    <\/span>B<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u5b89\u5168\u8cc7\u7523\u306e\u4fdd\u6709\u984d<\/td>\n\u501f\u5165\u306f\u8ca0\u306e\u5024\u3067\u8868\u3057\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u5148\u6e21\u30fb\u5148\u7269\u4fa1\u683c<\/td>\n<\/td>\n<\/tr>\n
    <\/span>c<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6642\u70b9 <\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc<\/td>\n\u50b5\u5238\u306e\u56de\u3067\u4f7f\u3044\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>D<\/span><\/span>mac<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>D<\/span><\/span>mod<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30de\u30b3\u30fc\u30ec\u30fc\uff0f\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3<\/td>\n\u88f8\u306e <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u306f\u4f7f\u3044\u307e\u305b\u3093\u3002<\/strong> <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f\u5272\u5f15\u4fc2\u6570\u306b\u4e88\u7d04\u6e08\u307f\u3067\u3059<\/td>\n<\/tr>\n
    <\/span>Cv<\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3<\/td>\n<\/span>C<\/span><\/span><\/span><\/span><\/eq> \u306f\u30b3\u30fc\u30eb\u4fa1\u683c\u306b\u4e88\u7d04\u6e08\u307f\u306e\u305f\u3081\u4f7f\u3044\u307e\u305b\u3093<\/td>\n<\/tr>\n
    <\/span>\u0393<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30ac\u30f3\u30de<\/td>\n\u4fa1\u683c\u306e <\/span>S<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u306e\u4e8c\u968e\u504f\u5fae\u5206\u3067\u3059<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

    \u78ba\u7387<\/h3>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
    \u8a18\u53f7<\/th>\n\u610f\u5473<\/th>\n\u5099\u8003<\/th>\n<\/tr>\n<\/thead>\n
    <\/span>\u03a9<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6a19\u672c\u7a7a\u9593<\/td>\n\u4e8c\u9805\u30e2\u30c7\u30eb\u306a\u3089 <\/span>{<\/span>\u03c9<\/span><\/span>u<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>\u03c9<\/span><\/span>d<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>}<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>F<\/span><\/span><\/span><\/span><\/eq>, <\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30d5\u30a3\u30eb\u30c8\u30ec\u30fc\u30b7\u30e7\u30f3<\/td>\n\u5f8c\u306e\u56de\uff08\u7b2c43\u56de\u4ee5\u964d\uff09\u3067\u5c0e\u5165\u3057\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>P<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u4e3b\u89b3\u78ba\u7387\uff08\u73fe\u5b9f\u306e\u6e2c\u5ea6\uff09<\/td>\n<\/td>\n<\/tr>\n
    <\/span>Q<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387<\/td>\n\u7b2c45\u56de\u4ee5\u964d\u3067\u4f7f\u3044\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>p<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u4e3b\u89b3\u7684\u306a\u4e0a\u6607\u78ba\u7387<\/td>\n<\/span>P<\/span>(<\/span>\u03c9<\/span><\/span>u<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>p<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>q<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30ea\u30b9\u30af\u4e2d\u7acb\u7684\u306a\u4e0a\u6607\u78ba\u7387<\/td>\n<\/span>Q<\/span>(<\/span>\u03c9<\/span><\/span>u<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>q<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
    <\/span>E<\/span>[<\/span>\u22c5<\/span>]<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u671f\u5f85\u5024<\/td>\n\u6e2c\u5ea6\u3092\u7701\u7565\u3057\u305f\u3068\u304d\u306f <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u3067\u53d6\u308a\u307e\u3059<\/td>\n<\/tr>\n
    <\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6a19\u6e96\u30d6\u30e9\u30a6\u30f3\u904b\u52d5<\/td>\n<\/span>B<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u4f7f\u3044\u307e\u305b\u3093\u3002<\/span>B<\/span><\/span><\/span><\/span><\/eq> \u306f\u5b89\u5168\u8cc7\u7523\u306b\u4e88\u7d04\u6e08\u307f\u3067\u3059<\/td>\n<\/tr>\n
    <\/span>\u03bc<\/span>,<\/span><\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u30c9\u30ea\u30d5\u30c8\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3<\/td>\n\u5e74\u7387\u3067\u3059<\/td>\n<\/tr>\n
    <\/span>N<\/span>(<\/span>\u22c5<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u6a19\u6e96\u6b63\u898f\u5206\u5e03\u306e\u5206\u5e03\u95a2\u6570<\/td>\n<\/span>\u03a6<\/span><\/span><\/span><\/span><\/eq> \u306f\u4f7f\u3044\u307e\u305b\u3093<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

    \u307e\u3060\u767b\u5834\u3057\u3066\u3044\u306a\u3044\u6982\u5ff5\u306e\u8a18\u53f7\uff08<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>, <\/span>Q<\/span><\/span><\/span><\/span><\/eq>, <\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306a\u3069\uff09\u306f\u3001\u3053\u3053\u3067\u306f\u540d\u524d\u3068\u8a18\u53f7\u3060\u3051\u8f09\u305b\u3066\u304a\u304d\u307e\u3059\u3002\u4e2d\u8eab\u306f\u305d\u308c\u305e\u308c\u306e\u56de\u3067\u5b9a\u7fa9\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

    \u3053\u306e\u4e00\u89a7\u306f\u3001\u30b7\u30ea\u30fc\u30ba\u3092\u8aad\u307f\u9032\u3081\u308b\u4e2d\u3067\u8f9e\u66f8\u3068\u3057\u3066\u4f7f\u3063\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

    4. \u306a\u305c\u3053\u306e\u8a18\u53f7\u3092\u9078\u3093\u3060\u304b<\/h2>\n\n\n\n

    \u4e00\u89a7\u8868\u306e\u4e2d\u3067\u3001\u3044\u304f\u3064\u304b\u306e\u6587\u5b57\u306f\u610f\u8b58\u7684\u306b\u885d\u7a81\u3092\u907f\u3051\u308b\u66f8\u304d\u65b9\u3092\u3057\u3066\u3044\u307e\u3059\u3002\u305d\u306e\u7406\u7531\u30923\u4ef6\u8aac\u660e\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

    \u5272\u5f15\u4fc2\u6570\u3068\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3<\/h3>\n\n\n\n

    \u91d1\u878d\u306e\u6559\u79d1\u66f8\u3067\u306f <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u3068\u3044\u3046\u6587\u5b57\u304c2\u3064\u306e\u610f\u5473\u3067\u4f7f\u308f\u308c\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

    1\u3064\u76ee\u306f\u5272\u5f15\u4fc2\u6570<\/strong>\u3067\u3059\u3002\u5e74\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u5e74\u5f8c\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3092\u73fe\u5728\u4fa1\u5024\u306b\u76f4\u3059\u3068\u304d\u306e\u639b\u3051\u7387\u3067\u3001\u96e2\u6563\u8907\u5229\u306a\u3089 <\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span>)<\/span><\/span>\u2212<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n\n\n\n

    2\u3064\u76ee\u306f\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3<\/strong>\u3067\u3059\u3002\u50b5\u5238\u306e\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306e\u52a0\u91cd\u5e73\u5747\u6e80\u671f\u3067\u3001\u91d1\u5229\u611f\u5fdc\u5ea6\u3092\u6e2c\u308b\u6307\u6a19\u3067\u3059\u3002<\/p>\n\n\n\n

    \u3069\u3061\u3089\u3082 <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304f\u6163\u884c\u304c\u3042\u308a\u307e\u3059\u304c\u3001\u540c\u3058\u5f0f\u306b\u5272\u5f15\u4fc2\u6570\u3068\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u304c\u51fa\u3066\u304f\u308b\u3053\u3068\u304c\u3042\u308a\u307e\u3059\u3002\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u885d\u7a81\u3092\u907f\u3051\u308b\u305f\u3081\u3001\u5272\u5f15\u4fc2\u6570\u306f\u5f15\u6570\u4ed8\u304d\u306e <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq>\u3001\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306f\u6dfb\u5b57\u4ed8\u304d\u306e <\/span>D<\/span><\/span>mac<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08\u30de\u30b3\u30fc\u30ec\u30fc\uff09\u3001<\/span>D<\/span><\/span>mod<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08\u4fee\u6b63\uff09\u3068\u66f8\u304d\u307e\u3059\u3002\u88f8\u306e <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u306f\u4f7f\u3044\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

    \u30b3\u30fc\u30eb\u4fa1\u683c\u3068\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3<\/h3>\n\n\n\n

    <\/span>C<\/span><\/span><\/span><\/span><\/eq> \u30822\u3064\u306e\u610f\u5473\u3067\u4f7f\u308f\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

    1\u3064\u76ee\u306f\u30b3\u30fc\u30eb\u4fa1\u683c<\/strong> <\/span>C<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u30022\u3064\u76ee\u306f\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3<\/strong>\u3067\u3001\u50b5\u5238\u4fa1\u683c\u306e\u5229\u56de\u308a\u306b\u5bfe\u3059\u308b\u4e8c\u968e\u5fae\u5206\u3092\u6b63\u898f\u5316\u3057\u305f\u6307\u6a19\u3067\u3059\u3002<\/p>\n\n\n\n

    \u30b3\u30fc\u30eb\u4fa1\u683c\u306f\u91d1\u878d\u6570\u5b66\u306e\u5168\u7de8\u306b\u308f\u305f\u3063\u3066\u983b\u51fa\u3059\u308b\u305f\u3081\u3001<\/span>C<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u4e88\u7d04\u3057\u307e\u3059\u3002\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u306f <\/span>Cv<\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304d\u307e\u3059\u3002\u4ed6\u306e\u6559\u79d1\u66f8\u3067 <\/span>C<\/span><\/span><\/span><\/span><\/eq> \u304c\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u3068\u3057\u3066\u51fa\u3066\u304d\u305f\u3089\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u306e <\/span>Cv<\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u8aad\u307f\u66ff\u3048\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

    \u5185\u7a4d\u3068\u4e8c\u6b21\u5909\u5206<\/h3>\n\n\n\n

    <\/span>\u27e8<\/span>\u22c5<\/span>,<\/span><\/span>\u22c5<\/span>\u27e9<\/span><\/span><\/span><\/span><\/eq> \u3068\u3044\u3046\u8a18\u53f7\u306b\u3082\u885d\u7a81\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

    1\u3064\u76ee\u306f <\/span>L<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u7a7a\u9593\u306e\u5185\u7a4d<\/strong> <\/span>\u27e8<\/span>X<\/span>,<\/span><\/span>Y<\/span>\u27e9<\/span><\/span>=<\/span><\/span><\/span><\/span>E<\/span>[<\/span>X<\/span>Y<\/span>]<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u30022\u3064\u76ee\u306f\u4e8c\u6b21\u5909\u5206<\/strong>\u3067\u3001\u30d6\u30e9\u30a6\u30f3\u904b\u52d5\u306e\u7d4c\u8def\u306e\u3070\u3089\u3064\u304d\u3092\u6e2c\u308b\u91cf\u3067\u3059\u3002\u6559\u79d1\u66f8\u306b\u3088\u3063\u3066\u306f\u4e8c\u6b21\u5909\u5206\u3092 <\/span>\u27e8<\/span>f<\/span>\u27e9<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304d\u307e\u3059\uff08Shreve \u306e\u6559\u79d1\u66f8\u3067\u306f <\/span>[<\/span>f<\/span>,<\/span><\/span>f<\/span>]<\/span>(<\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq>\uff09\u304c\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u5185\u7a4d\u306b\u4e88\u7d04\u3057\u3001\u4e8c\u6b21\u5909\u5206\u306f\u89d2\u62ec\u5f27 <\/span>[<\/span>f<\/span>]<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u66f8\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

    3\u4ef6\u3068\u3082\u3001\u539f\u5247\u306f\u540c\u3058\u3067\u3059\u30021\u3064\u306e\u8a18\u53f7\u306b1\u3064\u306e\u610f\u5473<\/strong>\u3092\u5b88\u308b\u305f\u3081\u306b\u3001\u885d\u7a81\u3057\u305d\u3046\u306a\u65b9\u306e\u66f8\u304d\u65b9\u3092\u5909\u3048\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

    5. \u3088\u304f\u3042\u308b\u53d6\u308a\u9055\u3048<\/h2>\n\n\n\n

    CEX-NM-1: \u540c\u3058\u6587\u5b57\u304c\u3044\u3064\u3082\u540c\u3058\u610f\u5473\u3068\u306f\u9650\u3089\u306a\u3044<\/h3>\n\n\n\n

    <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u304c\u5272\u5f15\u4fc2\u6570\u3068\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306e\u4e21\u65b9\u306b\u4f7f\u308f\u308c\u308b\u6163\u884c\u3092\u898b\u307e\u3057\u305f\u3002\u3053\u3053\u3067\u306f\u6570\u5024\u3067\u885d\u7a81\u306e\u6016\u3055\u3092\u793a\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

    \u5e74\u5229 <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>5%<\/span><\/span><\/span><\/span><\/eq>\u3001\u6e80\u671f <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span><\/eq> \u5e74\u3067\u8a08\u7b97\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \n
    • \u5272\u5f15\u4fc2\u6570: <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>2<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>0.05<\/span>)<\/span><\/span>\u2212<\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>441<\/span><\/span><\/span><\/span><\/span><\/span><\/span>400<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.9070<\/span><\/span><\/span><\/span><\/eq><\/li>\n
    • \u30de\u30b3\u30fc\u30ec\u30fc\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3: \u984d\u9762 100\u3001\u5e741\u56de\u30af\u30fc\u30dd\u30f3 5% \u306e2\u5e74\u50b5\uff08\u30d1\u30fc\u767a\u884c\uff09\u306e\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306f <\/span>D<\/span><\/span>mac<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>21<\/span><\/span><\/span><\/span><\/span><\/span><\/span>41<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span><\/span><\/span>1.9524<\/span><\/span><\/span><\/span><\/eq><\/li>\n<\/ul>\n\n\n\n

      \u3082\u3057\u88f8\u306e <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u3067\u66f8\u3044\u3066\u3044\u305f\u3089\u3001<\/span>D<\/span><\/span>=<\/span><\/span><\/span><\/span>0.9070<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>D<\/span><\/span>=<\/span><\/span><\/span><\/span>1.9524<\/span><\/span><\/span><\/span><\/eq> \u304c\u540c\u3058\u6587\u5b57\u3067\u5171\u5b58\u3059\u308b\u3053\u3068\u306b\u306a\u308a\u307e\u3059\u3002\u5f0f\u306e\u4e2d\u3067\u3069\u3061\u3089\u306e <\/span>D<\/span><\/span><\/span><\/span><\/eq> \u306a\u306e\u304b\u5224\u65ad\u3067\u304d\u305a\u3001\u8a08\u7b97\u3092\u9593\u9055\u3048\u308b\u539f\u56e0\u306b\u306a\u308a\u307e\u3059\u3002<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>D<\/span><\/span>mac<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u66f8\u304d\u5206\u3051\u3066\u3044\u308c\u3070\u3001\u6df7\u540c\u306f\u8d77\u304d\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      CEX-NM-2: \u6559\u79d1\u66f8\u3054\u3068\u306e\u8a18\u53f7\u306e\u9055\u3044\u3092\u7121\u8996\u3057\u3066\u306f\u3044\u3051\u306a\u3044<\/h3>\n\n\n\n

      <\/span>C<\/span><\/span><\/span><\/span><\/eq> \u304c\u30b3\u30fc\u30eb\u4fa1\u683c\u3068\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u306e\u4e21\u65b9\u306b\u4f7f\u308f\u308c\u308b\u4f8b\u3092\u898b\u307e\u3057\u305f\u3002Hull \u306e\u6559\u79d1\u66f8\u3067\u306f\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u3092 <\/span>C<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u3044\u3066\u3044\u307e\u3059\u3002\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u3092 <\/span>Cv<\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304f\u3053\u3068\u3067\u885d\u7a81\u3092\u907f\u3051\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u4ed6\u306e\u6559\u79d1\u66f8\u3092\u8aad\u3080\u3068\u304d\u306f\u3001\u6b21\u306e\u8aad\u307f\u66ff\u3048\u8868\u3092\u53c2\u8003\u306b\u3057\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
      \u6982\u5ff5<\/th>\n\u672c\u30b7\u30ea\u30fc\u30ba<\/th>\nHull<\/th>\nShreve<\/th>\n<\/tr>\n<\/thead>\n
      \u30d6\u30e9\u30a6\u30f3\u904b\u52d5<\/td>\n<\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>z<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
      \u6b63\u898f\u5206\u5e03\u306e\u5206\u5e03\u95a2\u6570<\/td>\n<\/span>N<\/span>(<\/span>\u22c5<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>N<\/span>(<\/span>\u22c5<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>\u03a6<\/span>(<\/span>\u22c5<\/span>)<\/span><\/span><\/span><\/span><\/eq>\uff08\u672c\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u4e0d\u63a1\u7528\uff09<\/td>\n<\/tr>\n
      \u5b89\u5168\u8cc7\u7523\u306e\u4fdd\u6709\u984d<\/td>\n<\/span>B<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u2015\uff08\u660e\u793a\u3057\u306a\u3044\u3053\u3068\u304c\u591a\u3044\uff09<\/td>\n<\/span>X<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08\u6587\u8108\u306b\u3088\u308b\uff09<\/td>\n<\/tr>\n
      \u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3<\/td>\n<\/span>Cv<\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>C<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u2015\uff08\u50b5\u5238\u3092\u6271\u308f\u306a\u3044\uff09<\/td>\n<\/tr>\n
      \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\uff08\u4e0a\u6607\uff09<\/td>\n<\/span>q<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>p<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span><\/span>p<\/span><\/span><\/span>~<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
      \u4e3b\u89b3\u78ba\u7387\uff08\u4e0a\u6607\uff09<\/td>\n<\/span>p<\/span><\/span><\/span><\/span><\/eq><\/td>\n\u2015\uff08\u660e\u793a\u3057\u306a\u3044\u3053\u3068\u304c\u591a\u3044\uff09<\/td>\n<\/span>p<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
      \u4e8c\u6b21\u5909\u5206<\/td>\n<\/span>[<\/span>f<\/span>]<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n\u2015\uff08\u8a18\u53f7\u3092\u660e\u793a\u3057\u306a\u3044\uff09<\/td>\n<\/span>[<\/span>f<\/span>,<\/span><\/span>f<\/span>]<\/span>(<\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u7279\u306b\u6ce8\u610f\u3059\u3079\u304d\u306f\u3001Hull \u306e\u6559\u79d1\u66f8\u3067\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u3092 <\/span>p<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u3044\u3066\u3044\u308b\u70b9\u3067\u3059\u3002\u672c\u30b7\u30ea\u30fc\u30ba\u3067\u306f <\/span>p<\/span><\/span><\/span><\/span><\/eq> \u306f\u4e3b\u89b3\u78ba\u7387\u3001<\/span>q<\/span><\/span><\/span><\/span><\/eq> \u304c\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u3067\u3059\u3002\u305d\u306e\u307e\u307e\u6301\u3061\u8fbc\u3080\u3068\u610f\u5473\u304c\u9006\u8ee2\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6559\u79d1\u66f8\u3092\u8aad\u307f\u66ff\u3048\u308b\u3068\u304d\u306f\u3001\u8a18\u53f7\u3060\u3051\u3067\u306a\u304f\u4f55\u3092\u8868\u3057\u3066\u3044\u308b\u304b<\/strong>\u3092\u78ba\u8a8d\u3057\u3066\u304b\u3089\u5f0f\u3092\u8ffd\u3063\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

      6. \u6570\u5024\u4f8b \u2015 \u8a18\u53f7\u3060\u3051\u3067\u540c\u3058\u8a08\u7b97\u30923\u901a\u308a\u306b\u66f8\u3044\u3066\u307f\u308b<\/h2>\n\n\n\n

      \u8a18\u53f7\u306e\u7d04\u675f\u3092\u6c7a\u3081\u305f\u306e\u3067\u3001\u5b9f\u969b\u306b\u540c\u3058\u8a08\u7b97\u3092\u8a18\u53f7\u3092\u5909\u3048\u3066\u66f8\u3044\u3066\u307f\u307e\u3059\u3002\u5e74\u5229 <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>5%<\/span><\/span><\/span><\/span><\/eq>\u3001\u6e80\u671f <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span><\/eq> \u5e74\u306e\u3068\u304d\u3001\u984d\u9762 100 \u306e\u73fe\u5728\u4fa1\u5024\u3092\u6c42\u3081\u307e\u3059\u3002<\/p>\n\n\n\n

      \u66f8\u304d\u65b91: \u5b9a\u7fa9\u3092\u305d\u306e\u307e\u307e\u66f8\u304f<\/strong><\/p>\n\n\n\n

      <\/span><\/span>\u73fe\u5728\u4fa1\u5024<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span>r<\/span>)<\/span><\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1.05<\/span>)<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>441<\/span><\/span><\/span><\/span><\/span><\/span><\/span>40000<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span>90.7029<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u304c\u4f55\u3092\u6307\u3059\u304b\u5206\u304b\u3063\u3066\u3044\u308c\u3070\u8aad\u3081\u307e\u3059\u304c\u3001\u5272\u5f15\u306e\u64cd\u4f5c\u304c\u5f0f\u306e\u5f62\u306b\u57cb\u3082\u308c\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u66f8\u304d\u65b92: \u5272\u5f15\u4fc2\u6570\u3092\u4f7f\u3046<\/strong><\/p>\n\n\n\n

      <\/span>\u73fe\u5728\u4fa1\u5024<\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>2<\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3053\u3053\u3067 <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>2<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span>)<\/span><\/span>\u2212<\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>441<\/span><\/span><\/span><\/span><\/span><\/span><\/span>400<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.9070<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n\n\n\n

      \u300c100 \u306b\u5272\u5f15\u4fc2\u6570\u3092\u639b\u3051\u308b\u300d\u3068\u3044\u3046\u64cd\u4f5c\u304c\u3001\u8a18\u53f7\u306e\u304a\u304b\u3052\u3067\u4e00\u76ee\u3067\u8aad\u3081\u307e\u3059\u3002\u5272\u5f15\u4fc2\u6570\u3092 <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u3044\u3066\u3044\u308c\u3070\u3001<\/span>D<\/span><\/span>mac<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u6df7\u540c\u3059\u308b\u5fc3\u914d\u3082\u3042\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      \u66f8\u304d\u65b93: \u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u3068\u5272\u5f15\u4fc2\u6570\u306e\u7d44\u3067\u66f8\u304f<\/strong><\/p>\n\n\n\n

      \u5e741\u56de\u30af\u30fc\u30dd\u30f3 5% \u306e2\u5e74\u50b5\u306a\u3089\u3001\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u306f <\/span>c<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>5<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>c<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>105<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u50b5\u5238\u4fa1\u683c\u306f<\/p>\n\n\n\n

      <\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>c<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>5<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>1<\/span>)<\/span><\/span>+<\/span><\/span><\/span><\/span>105<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>2<\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3067\u8868\u305b\u307e\u3059\u3002<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>1<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>21<\/span><\/span><\/span><\/span><\/span><\/span><\/span>20<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.9524<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>2<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>441<\/span><\/span><\/span><\/span><\/span><\/span><\/span>400<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.9070<\/span><\/span><\/span><\/span><\/eq> \u3092\u4ee3\u5165\u3059\u308b\u3068\u3001\u50b5\u5238\u4fa1\u683c\u306f 100\uff08\u30d1\u30fc\u767a\u884c\u306e\u691c\u7b97\uff09\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      3\u901a\u308a\u3068\u3082\u540c\u3058\u5bfe\u8c61\u3092\u6271\u3063\u3066\u3044\u307e\u3059\u304c\u3001\u8a18\u53f7\u306e\u9078\u3073\u65b9\u3067\u8aad\u307f\u3084\u3059\u3055\u304c\u5909\u308f\u308a\u307e\u3059\u3002\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u66f8\u304d\u65b92\u306e <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u8a18\u6cd5\u3092\u6a19\u6e96\u3068\u3057\u3066\u4f7f\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      7. \u6b21\u56de\u3078 \u2015 \u78ba\u5b9a\u5229\u4ed8\u304d\u306e\u4e16\u754c\u3092\u56fa\u3081\u308b<\/h2>\n\n\n\n

      \u6b21\u56de\uff08\u7b2c7\u56de\uff09\u304b\u3089\u306f\u7b2c2\u90e8\u306b\u5165\u308a\u3001\u5272\u5f15\u7387\u3068\u30c7\u30a3\u30b9\u30ab\u30a6\u30f3\u30c8\u30d5\u30a1\u30af\u30bf\u30fc\u3092\u6b63\u9762\u304b\u3089\u6271\u3044\u307e\u3059\u3002\u4eca\u56de\u306e\u8a18\u53f7\u8868\u306f\u3001\u3053\u306e\u5148\u305a\u3063\u3068\u53c2\u7167\u3059\u308b\u3053\u3068\u306b\u306a\u308a\u307e\u3059\u3002\u65b0\u3057\u3044\u8a18\u53f7\u304c\u51fa\u3066\u304d\u305f\u3068\u304d\u306f\u3053\u306e\u8a18\u4e8b\u3092\u66f4\u65b0\u3057\u307e\u3059\u306e\u3067\u3001\u5b89\u5fc3\u3057\u3066\u8aad\u307f\u9032\u3081\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

      \u6b21\u306e\u30de\u30a4\u30eb\u30b9\u30c8\u30fc\u30f3\u307e\u3067\u3042\u3068 10 \u672c\u3067\u3059\u3002<\/p>\n\n\n\n

      \u3088\u304f\u3042\u308b\u8cea\u554f<\/h2>\n\n\n\n

      \u8a18\u53f7\u3092\u5168\u90e8\u899a\u3048\u308b\u5fc5\u8981\u304c\u3042\u308a\u307e\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u3042\u308a\u307e\u305b\u3093\u3002\u8aad\u3080\u3068\u304d\u306b\u623b\u3063\u3066\u3053\u3089\u308c\u308c\u3070\u5341\u5206\u3067\u3059\u3002\u3053\u306e\u56de\u306f\u8f9e\u66f8\u3068\u3057\u3066\u4f7f\u3063\u3066\u304f\u3060\u3055\u3044\u3002<\/p>\n\n\n\n

      \u4ed6\u306e\u672c\u3068\u8a18\u53f7\u304c\u9055\u3046\u306e\u306f\u306a\u305c\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u8a18\u53f7\u306f\u696d\u754c\u3067\u7d71\u4e00\u3055\u308c\u3066\u3044\u307e\u305b\u3093\u3002\u540c\u3058\u6587\u5b57\u304c\u5225\u306e\u610f\u5473\u3067\u4f7f\u308f\u308c\u308b\u3053\u3068\u3082\u3042\u308b\u306e\u3067\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u3067\u306f\u885d\u7a81\u3057\u306a\u3044\u3088\u3046\u306b\u6c7a\u3081\u76f4\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5f8c\u304b\u3089\u8a18\u53f7\u304c\u5897\u3048\u308b\u3053\u3068\u306f\u3042\u308a\u307e\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u3042\u308a\u307e\u3059\u3002\u5897\u3048\u305f\u3068\u304d\u306f\u3053\u306e\u56de\u306b\u8ffd\u8a18\u3057\u307e\u3059\u3002\u65b0\u3057\u3044\u8a18\u53f7\u3092\u65ad\u308a\u306a\u304f\u4f7f\u3046\u3053\u3068\u306f\u3057\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
        \n\n
      • Hull J. C.\u3001Options Futures and Other Derivatives\u3001\u7b2c11\u7248\u3001Pearson\u30012021\u5e74<\/li>\n\n\n
      • Shreve S. E.\u3001Stochastic Calculus for Finance II \u2015 Continuous-Time Models\u3001Springer\u30012004\u5e74<\/li>\n\n<\/ul>\n\n\n\n
        \n\n\n\n

        \u6570\u5024\u4f8b\u306f compute.py<\/code> \u306b\u3088\u308a\u6709\u7406\u6570\u6f14\u7b97\u3067\u691c\u7b97\u6e08\u307f\u3002\u672c\u6587\u4e2d\u306e\u5c0f\u6570\u306f4\u6841\u3067\u4e38\u3081\u3066\u3044\u308b\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

        \u4f4d\u7f6e: \u7b2c1\u90e8 \u7b2c6\u56de \/ \u524d\u63d0: \u7b2c1\u301c5\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u6559\u79d1\u66f8\u3067\u898b\u6163\u308c\u306a\u3044\u8a18\u53f7\u306b\u51fa\u4f1a\u3063\u3066\u3082\u3001\u3053\u306e\u30b7\u30ea\u30fc\u30ba\u306e\u8a18\u53f7\u306b\u8aad\u307f\u66ff\u3048\u308b\u3053\u3068\u304c\u3067\u304d\u308b 0. \u7269\u8a9e \u2015 \u540c\u3058\u6587\u5b57\u304c\u5225\u306e\u610f\u5473\u3067 […]<\/p>\n","protected":false},"author":1,"featured_media":209099,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[161],"class_list":["post-208186","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-financial-engineering","tag-fe-part1-rates"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t