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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
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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
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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
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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
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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
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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
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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