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Static hedging of defaultable contingent claims : a simple hedging scheme across equity and credit markets

Ohsaki, Shuichi; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 239-264

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Moments of maximum of Lévy processes : application to barrier and lookback option pricing

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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

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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

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A variable reduction technique for pricing average-rate options

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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

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Rebalancing static super-replications

Takahashi, Akihiko; Tsuzuki, Yukihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-23

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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

Efficient Static Replication of European Options under Exponential Lévy Models

Takahashi, Akihiko - 2011

This paper proposes a new scheme for the static replication of European options and their portfolios. First, we derive a general approximation formula for efficient static replication as an extension of Carr and Chou (1997, 2002) and Carr and Wu (2002). Second, we present a concrete procedure...

Persistent link: https://www.econbiz.de/10013126520