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Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Arai, Takuji - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10013189954
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Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji - In: International journal of financial engineering 10 (2023) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
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Local risk-minimization for Barndorff-Nielsen and Shephard models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: Finance and stochastics 21 (2017) 2, pp. 551-592
Persistent link: https://www.econbiz.de/10011944406
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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267
Persistent link: https://www.econbiz.de/10012128947
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Numercial analysis on quadratic hedging strategies for normal inverse Gaussian models
Arai, Takuji; Imai, Yuto; Nakashima, Ryo - In: Advances in mathematical economics 22 (2018), pp. 1-24
Persistent link: https://www.econbiz.de/10011895065