This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

This is an online appendix of "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach". Particularly, we provide proofs of Propositions 1-3 and an example of FBSDEs, in which sgn(Z1); sgn(Z2) are determined by solving the FBSDEs explicitly, for Section III-B in the original...

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading...

This work develops and estimates a three-factor term structure model with explicit sentiment factors in a period including the global financial crisis, where market confidence was said to erode considerably. It utilizes a large text data of real time, relatively high-frequency market news and...

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies “Dykstra's cyclic projections algorithm” for its implementation. Numerical examples...

This paper presents a new asset pricing model incorporating fundamental uncertainties by choice of a probability measure. This approach is novel in that we incorporate uncertainties on Brownian motions describing risks into the existing asset pricing model. Particularly, we show extensions of...