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~subject:"Optionspreistheorie"
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Optionspreistheorie
Option pricing theory
77
Theorie
70
Theory
70
Stochastic process
55
Stochastischer Prozess
55
Portfolio selection
40
Portfolio-Management
40
Volatility
33
Volatilität
33
Yield curve
22
Zinsstruktur
22
Asymptotic expansion
21
Credit risk
16
Kreditrisiko
16
Malliavin calculus
16
Agent-based modeling
15
Agentenbasierte Modellierung
15
Monte Carlo simulation
14
CAPM
13
Derivat
13
Derivative
13
Incomplete market
13
Unvollkommener Markt
13
Monte-Carlo-Simulation
12
Option trading
12
Optionsgeschäft
12
Risk management
12
Estimation theory
11
Game theory
11
Hedging
11
Probability theory
11
Risikomanagement
11
Schätztheorie
11
Spieltheorie
11
Wahrscheinlichkeitsrechnung
11
Allgemeines Gleichgewicht
10
Analysis
10
Currency option
10
General equilibrium
10
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Free
31
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15
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Article
41
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Article in journal
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English
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Takahashi, Akihiko
59
Yamazaki, Akira
21
Yamada, Toshihiro
16
Shiraya, Kenichiro
11
Fujii, Masaaki
7
Takehara, Kohta
7
Toda, Masashi
5
Tsuzuki, Yukihiro
5
Saito, Taiga
4
Sato, Seisho
4
Yamamoto, Kyo
4
Tsuchida, Yoshifumi
3
Umezawa, Yuji
3
Kato, Takashi
2
Kizaki, Keisuke
2
Li, Yuan
2
Uchida, Yoshihiko
2
Fuji, Masaaki
1
He, Hua
1
Iguchi, Yuga
1
Kunitomo, Naoto
1
Matsuoka, Ryosuke
1
Miyachi, Kaimon
1
Naito, Riu
1
Nishimura, Kiyohiko G.
1
Ohsaki, Shuichi
1
Shimada, Yasufumi
1
Takahashi, Masayuki
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1
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International Workshop on Finance <2011, Kyōto>
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Asia-Pacific financial markets
9
International journal of theoretical and applied finance
8
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7
CIRJE discussion papers / F series
6
International journal of financial engineering
3
Applied mathematical finance
2
European journal of operational research : EJOR
2
Mathematics of operations research
2
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
2
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2
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2
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1
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1
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ECONIS (ZBW)
77
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1
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
2
Analytical approximation of pricing average options under the Heston model
Yamazaki, Akira
- In:
Recent advances in financial engineering 2011: …
,
(pp. 203-220)
.
2012
Persistent link: https://www.econbiz.de/10009573427
Saved in:
3
Pricing average options under time-changed Lévy processes
Yamazaki, Akira
- In:
Review of derivatives research
17
(
2014
)
1
,
pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
Saved in:
4
Asset pricing with non-geometric type of dividends
Yamazaki, Akira
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011408577
Saved in:
5
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
Saved in:
6
A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
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7
Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011523937
Saved in:
8
Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
Umezawa, Yuji
;
Yamazaki, Akira
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 133-161
Persistent link: https://www.econbiz.de/10010505145
Saved in:
9
Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
10
Approximation method using black-scholes formula for barrier option pricing under Lévy models
Li, Yuan
;
Miyachi, Kaimon
;
Shiraya, Kenichiro
; …
-
2021
-
This version : June 7, 2021
Persistent link: https://www.econbiz.de/10012807890
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