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~person:"Takahashi, Akihiko"
~subject:"Asymptotic expansion"
~subject:"Konferenz"
~subject:"Volatilität"
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Asymptotic expansion
Konferenz
Volatilität
Stochastic process
41
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41
Option pricing theory
27
Optionspreistheorie
27
Volatility
17
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12
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27
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Takahashi, Akihiko
McAleer, Michael
69
Asai, Manabu
40
Koopman, Siem Jan
38
Chan, Joshua
34
Todorov, Viktor
34
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Lee, Cheng F.
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Bos, Charles S.
21
Fouque, Jean-Pierre
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Alòs, Elisa
18
Marcellino, Massimiliano
18
Platen, Eckhard
18
Hafner, Christian M.
17
Martin, Gael M.
17
Renò, Roberto
17
Rodriguez, Gabriel
17
Adelson, Mark
16
Allen, Joseph A.
16
Kang, Boda
16
Wong, Hoi Ying
16
Yamada, Toshihiro
16
Branger, Nicole
15
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Caporin, Massimiliano
14
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CIRJE discussion papers / F series
6
International journal of theoretical and applied finance
4
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3
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3
Mathematics of operations research
2
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1
European journal of operational research : EJOR
1
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ECONIS (ZBW)
27
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1
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
2
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Saved in:
3
Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Toda, Masashi
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Saved in:
4
On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
Saved in:
5
Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
19
(
2012
)
3
,
pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
Saved in:
6
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
Saved in:
7
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
8
Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
Saved in:
9
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
Saved in:
10
Pertubative expansion of FBSDE in an incomplete market with stochastic volatility
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
The quarterly journal of finance
2
(
2012
)
3
,
pp. 1501-1524
Persistent link: https://www.econbiz.de/10009679953
Saved in:
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