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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
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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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
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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
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Conditional Asian options
Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
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Closed-form approximation of perpetual timer option prices
Li, Minqiang; Mercurio, Fabio - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10010391503
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The intersection between European put price and its payoff function
Zhang, Jin E.; Huang, Shoujun; Li, Tiecheng - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10009779744
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The heat-kernel most-likely-path approximation
Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
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Effective asymptotics analysis for finance
Grunspan, Cyril; Van der Hoeven, Joris - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10012270910
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A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
Grishchenko, Olesya; Han, Xiao; Nistor, Victor - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10012271002