This paper proposes a continuous-time term-structure model under stochastic differential utility with non-unitary elasticity of intertemporal substitution (EIS, henceforth) in a representative-agent endowment economy with mean-reverting expectations on real output growth and inflation. Using...

We developed a new scheme for computing "Greeks"of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and vegas of plain vanilla and average call options under general Markovian processes of underlying asset prices. We also...

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...

This paper reviews an asymptotic expansion approach to numerical problems for pricing financial assets and securities.

We developed a variance reduction method of Monte Carlo simulations as well as an approximation formula based on an asymptotic expansion approach for pricing bond options and swaptions in HJM framework. As a numerical example we applied the technique to a realistic two-factor model and confirmed...

This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and Lambda-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures...

This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options,...

This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options,...

In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...

This paper proposes a trading strategy that dynamically rebalances static super-replicating portfolios, which is very useful for both investment and hedging strategies. In order to investigate general properties of the strategy, we derive the Doob-Meyer decomposition for the value process...