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 investigates derivatives pricing under existence of liquidity costs and market impacts for the underlying asset in continuous time. Firstly, we formulate the charge for the liquidity cost and the market impact on the derivatives prices through a stochastic control problem that aims to...

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...

This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for...