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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The American economic review"
~language:"eng"
~person:"Funahashi, Hideharu"
~person:"Grzelak, Lech A."
~person:"Takahashi, Akihiko"
~subject:"Option pricing theory"
~subject:"Volatility"
~type_genre:"Article in journal"
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Option pricing theory
Volatility
Optionspreistheorie
12
Volatilität
10
Stochastic process
9
Stochastischer Prozess
9
Black-Scholes model
4
Black-Scholes-Modell
4
calibration
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Article in journal
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12
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English
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Funahashi, Hideharu
Grzelak, Lech A.
Takahashi, Akihiko
Levendorskij, Sergej Z.
10
Kwok, Yue-Kuen
9
Benth, Fred Espen
8
Brigo, Damiano
6
Elliott, Robert J.
6
Fabozzi, Frank J.
6
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Avellaneda, Marco
5
Bojarčenko, Svetlana I.
5
Chiarella, Carl
5
Joshi, Mark S.
5
Oosterlee, Cornelis W.
5
Siu, Tak Kuen
5
Ekström, Erik
4
Hess, Markus
4
Hui, Cho H.
4
Jaimovich, Nir
4
Liu, Rui Hua
4
Lo, C. F.
4
Macrina, Andrea
4
Pallavicini, Andrea
4
Račev, Svetlozar T.
4
Rebonato, Riccardo
4
Schoutens, Wim
4
Wu, Lixin
4
Arai, Takuji
3
Bernard, Carole
3
Boyarchenko, Mitya
3
Brody, Dorje C.
3
Cui, Zhenyu
3
Ehrhardt, Matthias
3
Fernández-Villaverde, Jesús
3
Forde, Martin
3
Fouque, Jean-Pierre
3
Gatheral, Jim
3
Guerrón-Quintana, Pablo A.
3
Hoogland, J. K.
3
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International journal of theoretical and applied finance
The American economic review
Asia-Pacific financial markets
11
The journal of computational finance
6
International journal of financial engineering
4
Quantitative finance
3
The journal of futures markets
3
Applied mathematical finance
2
Mathematics of operations research
2
Advances in mathematical economics
1
Annals of finance
1
European journal of operational research : EJOR
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
International review of finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Research in finance
1
Review of derivatives research
1
Risks : open access journal
1
The international journal of business and finance research : IJBFR
1
The quarterly journal of finance
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ECONIS (ZBW)
12
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1
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
2
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
3
An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
Saved in:
4
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
5
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
6
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
7
Analytical approximation for non-linear FBSDEs with perturbation scheme
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009672609
Saved in:
8
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
9
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
10
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Saved in:
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