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~person:"Takahashi, Akihiko"
~subject:"Black-Scholes model"
~subject:"Konferenz"
~subject:"Mathematische Optimierung"
~subject:"Portfolio selection"
~subject:"Volatilität"
~type:"article"
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Black-Scholes model
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16
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16
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Takahashi, Akihiko
Escudero, Laureano F.
29
McAleer, Michael
25
Escobar, Marcos
23
Lee, Cheng F.
22
Asai, Manabu
21
Todorov, Viktor
19
Gendreau, Michel
18
Tauchen, George Eugene
17
Adelson, Mark
16
Cui, Zhenyu
16
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16
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15
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14
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13
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13
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13
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13
Ahmed, Shabbir
12
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12
Fouque, Jean-Pierre
12
Morton, David P.
12
Siu, Tak Kuen
12
Wang, Xingchun
12
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11
Kim, Jeong-Hoon
11
Kopa, Miloš
11
Post, Thierry
11
Tomasgard, Asgeir
11
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10
Beraldi, Patrizia
10
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10
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10
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10
Garín, María Araceli
10
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10
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10
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10
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International journal of theoretical and applied finance
4
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2
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2
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1
The journal of computational finance
1
The journal of futures markets
1
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1
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
2
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
3
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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 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:
6
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:
7
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:
8
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:
9
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:
10
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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