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Pricing Discrete Barrier Options Under Stochastic Volatility
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific Financial Markets 19 (2012) 3, pp. 205-232
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with...
Persistent link: https://www.econbiz.de/10010989079
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A remark on approximation of the solutions to partial differential equations in finance
Takahashi, Akihiko; Yamada, Toshihiro - In: Recent advances in financial engineering 2011: …, (pp. 133-181). 2012
Persistent link: https://www.econbiz.de/10009573432
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An asymptotic expansion of forward-backward SDEs with a perturbed driver
Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011333428
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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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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
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Deep Asymptotic Expansion : Application to Financial Mathematics
Iguchi, Yuga; Naito, Riu; Takahashi, Akihiko; Yamada, … - 2021 - Revised in February 2022
Persistent link: https://www.econbiz.de/10013339086
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Deep asymptotic expansion with weak approximation
Iguchi, Yuga; Naito, Riu; Okano, Yusuke; Yamada, Toshihiro - 2021 - Revised in August 2021
Persistent link: https://www.econbiz.de/10013336343
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014331906