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Search: person:"Shiraya, Kenichiro"
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Option pricing theory
19
Optionspreistheorie
19
Stochastic process
13
Stochastischer Prozess
13
Volatility
13
Volatilität
13
Option trading
10
Optionsgeschäft
10
Derivat
5
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4
Black-Scholes-Modell
4
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3
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Malliavin calculus
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implied volatility
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Lévy process
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Multivariate Verteilung
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Multivariate distribution
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Schätztheorie
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Statistical distribution
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2
barrier option
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English
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Japanese
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Shiraya, Kenichiro
54
Takahashi, Akihiko
40
Toda, Masashi
7
Yamazaki, Akira
7
Rolloos, Frido
4
Yamada, Toshihiro
4
Alòs, Elisa
3
Yamakami, Tomohisa
3
Fukunishi, Yosuke
2
Li, Yuan
2
Karami, Yasaman
1
Miyachi, Kaimon
1
Suzuki, Kanji
1
Uenishi, Hiroki
1
Umezawa, Yuji
1
Wang, Cong
1
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Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics
14
Center for Advanced Research in Finance, Faculty of Economics
13
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CIRJE F-Series
12
CARF F-Series
11
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7
The journal of futures markets
4
European journal of operational research : EJOR
3
Journal of Futures Markets
3
CARF J-Series
2
CIRJE J-Series
2
The journal of computational finance
2
Asia-Pacific Financial Markets
1
Asia-Pacific financial markets
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Finance and stochastics
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Mathematics of operations research
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Quantitative Finance
1
The journal of computational finance : JFC
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RePEc
31
ECONIS (ZBW)
20
OLC EcoSci
2
Other ZBW resources
1
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New approaches of the DCC-GARCH residual : application to foreign exchange rates
Shiraya, Kenichiro
;
Suzuki, Kanji
;
Yamakami, Tomohisa
-
2024
Persistent link: https://www.econbiz.de/10015164432
Saved in:
2
Realized volatility moments implied by options with applications to the pricing of realized volatility options
Rolloos, Frido
;
Shiraya, Kenichiro
-
2024
Persistent link: https://www.econbiz.de/10015164480
Saved in:
3
Constructing copulas using corrected hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
-
2023
Persistent link: https://www.econbiz.de/10014266209
Saved in:
4
A lower bound for the volatility swap in the lognormal SABR model
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2023
Persistent link: https://www.econbiz.de/10015175610
Saved in:
5
Forward start volatility swaps in rough volatility models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
6
Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
7
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
8
A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido
;
Shiraya, Kenichiro
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
Saved in:
9
Approximation method using black-scholes formula for barrier option pricing under Lévy models
Li, Yuan
;
Miyachi, Kaimon
;
Shiraya, Kenichiro
; …
-
2021
-
This version : June 7, 2021
Persistent link: https://www.econbiz.de/10012807890
Saved in:
10
A general control variate method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro
;
Wang, Cong
;
Yamazaki, Akira
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
Saved in:
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