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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model

Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295

Persistent link: https://www.econbiz.de/10003867401

Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion

Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321

Persistent link: https://www.econbiz.de/10008653256

Greeks formulas for an asset price model with gamma processes

Kawai, Reiichiro; Takeuchi, Atsushi - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 723-742

Persistent link: https://www.econbiz.de/10009311612

Smooth upper bounds for the price function of American style options

Bhim, Louis; Kawai, Reiichiro - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011845920

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

Moment and polynomial bounds for ruin-related quantities in risk theory

He, Yue; Kawai, Reiichiro - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1255-1271

Persistent link: https://www.econbiz.de/10013363852

Sensitivity Analysis and Density Estimation for the Hobson-Rogers Stochastic Volatility Model

Kawai, Reiichiro - 2010

Monte Carlo estimators of sensitivity indices and the marginal density of the price dynamics are derived for the Hobson-Rogers stochastic volatility model. Our approach is based mainly upon the Kolmogorov backward equation by making full use of the Markovian property of the dynamics given the...

Persistent link: https://www.econbiz.de/10013150061

The Gerber-Shiu discounted penalty function : a review from practical perspectives

He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, … - In: Insurance / Mathematics & economics 109 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014282466