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~person:"Takahashi, Akihiko"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
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Volatility
Option pricing theory
31
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31
Stochastic process
16
Stochastischer Prozess
16
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16
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16
Volatilität
14
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10
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9
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7
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14
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1
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14
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Takahashi, Akihiko
McAleer, Michael
33
Bollerslev, Tim
28
Gupta, Rangan
26
Kumar, Dilip
26
Todorov, Viktor
26
Andersen, Torben
25
Escobar, Marcos
23
Zhang, Jin E.
23
Tauchen, George Eugene
22
Carr, Peter
21
Cui, Zhenyu
21
Wang, Yudong
20
Benth, Fred Espen
18
Fabozzi, Frank J.
18
Mensi, Walid
18
Asai, Manabu
17
Hammoudeh, Shawkat
17
Li, Jia
17
Tiwari, Aviral Kumar
17
AĂŻt-Sahalia, Yacine
16
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Christoffersen, Peter F.
15
Kang, Sang Hoon
15
Renault, Eric
15
Renò, Roberto
15
Bali, Turan G.
14
Caporin, Massimiliano
14
Chiarella, Carl
14
Elliott, Robert J.
14
Ghysels, Eric
14
Madan, Dilip B.
14
Bouri, Elie
13
Clements, Adam
13
Lin, Shih-kuei
13
Meddahi, Nour
13
Rodriguez, Gabriel
13
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13
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International journal of theoretical and applied finance
5
Asia-Pacific financial markets
3
Mathematics of operations research
2
European journal of operational research : EJOR
1
The journal of computational finance
1
The journal of futures markets
1
The quarterly journal of finance
1
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ECONIS (ZBW)
14
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14
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1
On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
Saved in:
2
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:
3
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
4
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:
5
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:
6
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
7
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:
8
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
9
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
Takahashi, Akihiko
;
Takehara, Kohta
- In:
Asia-Pacific financial markets
14
(
2007
)
1/2
,
pp. 69-121
Persistent link: https://www.econbiz.de/10003609535
Saved in:
10
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:
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