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Estimation of the local volatility of discount bonds using market quotes for coupon-bond options
Fujiwara, Hajime; Kijima, Masaaki; Nishide, Katsumasa - In: Recent advances in financial engineering : proceedings …, (pp. 49-69). 2009
Persistent link: https://www.econbiz.de/10003871160
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Real options in a duopoly market with general volatility structure
Kijima, Masaaki; Shibata, Takashi - In: Recent advances in financial engineering : proceedings …, (pp. 71-89). 2009
Persistent link: https://www.econbiz.de/10003871162
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Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
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A chaos expansion approach for the pricing of contingent claims
Funahashi, Hideharu; Kijima, Masaaki - In: The journal of computational finance 18 (2014/15) 3, pp. 27-58
Persistent link: https://www.econbiz.de/10011298901
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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki; Siu, Chi Chung - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
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A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki - In: The journal of derivatives : the official publication … 6 (1998) 1, pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
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A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 423-440
Persistent link: https://www.econbiz.de/10001251496
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Does the Hurst index matter for option prices under fractional volatility?
Funahashi, Hideharu; Kijima, Masaaki - In: Annals of finance 13 (2017) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10011944961
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A unified approach for the pricing of options relating to averages
Funahashi, Hideharu; Kijima, Masaaki - In: Review of derivatives research 20 (2017) 3, pp. 203-229
Persistent link: https://www.econbiz.de/10011935995