@article{oai:kanazawa-u.repo.nii.ac.jp:00010562,
 author = {小原, 功任 and 岩崎, 宏 and 伊藤, 好二},
 issue = {4},
 journal = {日本応用数理学会論文誌 = Transactions of the Japan Society for Industrial and Applied Mathematics},
 month = {Dec},
 note = {多次元アメリカンコールオプション価格決定問題は,熱型の初期値障害物問題であり初期値に困難がある.最小化法に基づく数値スキームである離散勾配流法をこの問題に適用し,数値近似解の単調性と数値計算結果を示した. A minimizing method for calculating the American call option is developed. The American option pricing is a heat type obstacle problem but it contains some difficulties on the initial condition. Inspite of these difficulties the discrete Morse semiflow, which is a minimizing scheme via the time semidiscretized variational functional, works well. Moreover approximate solutions are monotone increasing.},
 pages = {671--679},
 title = {最小化法による多次元アメリカンオプションプライシングの数値解析},
 volume = {18},
 year = {2008}
}