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~accessRights:"restricted"
~person:"Korn, Ralf"
~person:"Sarkar, Sudipto"
~person:"Takahashi, Akihiko"
~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
13
Asymptotic expansion
6
Theorie
6
Theory
6
Monte Carlo simulation
5
Option trading
5
Optionsgeschäft
5
Monte-Carlo-Simulation
4
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4
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Realoptionsansatz
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Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Derivat
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Collateral
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Entscheidung unter Unsicherheit
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Korn, Ralf
Sarkar, Sudipto
Takahashi, Akihiko
Wang, Xingchun
30
Cui, Zhenyu
28
Fabozzi, Frank J.
21
Lee, Cheng F.
19
Madan, Dilip B.
19
He, Xin-Jiang
15
Lee, Hangsuck
15
Kirkby, J. Lars
13
Benth, Fred Espen
12
Nguyen, Duy
12
Zhang, Jin E.
12
Elliott, Robert J.
11
Kim, Young Shin
11
Kwok, Yue-Kuen
11
Li, Lingfei
11
RaÄŤev, Svetlozar T.
11
Wang, King
11
Xu, Wei
11
Alòs, Elisa
10
Bayer, Christian
10
Carr, Peter
10
Escobar, Marcos
10
Fusai, Gianluca
10
Kim, Jeong-Hoon
10
Leippold, Markus
10
Lin, Shih-kuei
10
Lorig, Matthew
10
Ryu, Doojin
10
Siu, Tak Kuen
10
Zhu, Song-Ping
10
Godin, Frédéric
9
Hainaut, Donatien
9
Hess, Markus
9
Lian, Yu-Min
9
Oosterlee, Cornelis Willebrordus
9
Pirjol, Dan
9
Radoičić, Radoš
9
Ruan, Xinfeng
9
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Asia-Pacific financial markets
5
International journal of financial engineering
3
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1
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1
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1
The European journal of finance
1
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ECONIS (ZBW)
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1
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
2
Rebalancing static super-replications
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011673107
Saved in:
3
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Saved in:
4
An FBSDE approach to American
option
pricing with an interacting particle method
Fujii, Masaaki
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
Saved in:
5
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
6
Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coeffi...
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2022
Persistent link: https://www.econbiz.de/10014266218
Saved in:
7
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
Fujii, Masaaki
;
Takahashi, Akihiko
;
Takahashi, Masayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
3
,
pp. 391-408
Persistent link: https://www.econbiz.de/10012309704
Saved in:
8
The investment decision with technological and market uncertainties
Fan, Yunfeng
;
Sarkar, Sudipto
;
Zhang, Chuanqian
- In:
The European journal of finance
25
(
2019
)
2
,
pp. 116-138
Persistent link: https://www.econbiz.de/10012206960
Saved in:
9
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
10
Term structure models during the global financial crisis: a parsimonious text mining approach
Nishimura, Kiyohiko G.
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
26
(
2019
)
3
,
pp. 297-337
Persistent link: https://www.econbiz.de/10012309663
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