Narrow search
Showing 1 - 9 of 9
Cover Image
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
Cover Image
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
Cover Image
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
Cover Image
Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021
Persistent link: https://www.econbiz.de/10012616241
Cover Image
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
Cover Image
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2023
Persistent link: https://www.econbiz.de/10014228004
Cover Image
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
Cover Image
Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236