Similar Search Results

Narrow search

Properties of multinomial lattices with cumulants for option pricing and hedging

Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 11 (2004) 3, pp. 335-365

Persistent link: https://www.econbiz.de/10003365663

Distribution-based option pricing on lattice asset dynamics models

Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 599-618

Persistent link: https://www.econbiz.de/10001743192

Value-at-risk estimation for dynamic hedging

Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 333-354

Persistent link: https://www.econbiz.de/10001682217

Valuation and hedging of weather derivatives on monthly average temperature

Yamada, Yuji - In: Journal of risk 10 (2007/08) 1, pp. 101-125

Persistent link: https://www.econbiz.de/10003572544

Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

Yamada, Yuji - In: Asia-Pacific financial markets 24 (2017) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011742282

A factor model approach to derivative pricing

Primbs, James A. - 2014

chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity...

Persistent link: https://www.econbiz.de/10015069196

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

Pricing electricity day-ahead cap futures with multifactor skew-t densities

Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860

Persistent link: https://www.econbiz.de/10013367864