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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
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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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An FBSDE approach to American option pricing with an interacting particle method
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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Price impacts of imperfect collateralization
Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
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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
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Analytical approximation for non-linear FBSDEs with perturbation scheme
Fujii, Masaaki; Takahashi, Akihiko - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10009672609
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Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
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Efficient static replication of European options under exponential Lévy models
Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10003826604
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A new scheme for static hedging of European derivatives under stochastic volatility models
Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 5, pp. 397-413
Persistent link: https://www.econbiz.de/10003827763