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Extracting market expectations from options prices : case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori - 1998
Persistent link: https://www.econbiz.de/10000992542
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Extracting market expectations from option prices : case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori - In: Monetary and economic studies 17 (1999) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10001375675
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Extracting market expectations from option prices : case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori - 1999
Persistent link: https://www.econbiz.de/10001442562
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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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Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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A variable reduction technique for pricing average-rate options
He, Hua; Takahashi, Akihiko - In: International review of finance 1 (2000) 2, pp. 123-142
Persistent link: https://www.econbiz.de/10001666865
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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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Pricing average options on commodities
Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 31 (2011) 5, pp. 407-439
Persistent link: https://www.econbiz.de/10009009225
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Rebalancing static super-replications
Takahashi, Akihiko; Tsuzuki, Yukihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011673107