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CAPM
Option pricing theory
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Optionspreistheorie
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Mathematical programming
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Mathematische Optimierung
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Greece
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Greeks
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American option price
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Derivat
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Esscher density transform
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Estimation theory
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Finite-time ruin
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GARCH
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Gerber-Shiu function
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Infinitely divisible random vector
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Integration-by-parts formula
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Integro-differential equations
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Inverse Lévy measure method
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Kolmogorov backward equation
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Kawai, Reiichiro
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Kohatsu-Higa, Arturo
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Takeuchi, Atsushi
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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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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