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Probability distribution and option pricing for drawdown in a stochastic volatility environment

Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354

Persistent link: https://www.econbiz.de/10008860388

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : An Application to Hedge Fund Replication

Takahashi, Akihiko - 2013

This paper provides a new method to construct a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio strategy...

Persistent link: https://www.econbiz.de/10013095841

An asymptotic expansion approach to pricing financial contingent claims

Takahashi, Akihiko - In: Asia-Pacific financial markets 6 (1999) 2, pp. 115-151

Persistent link: https://www.econbiz.de/10001449307

Asymptotic expansion approaches in finance : applications to currency options

Takahashi, Akihiko; Takehara, Kohta - In: Finance and banking developments, (pp. 185-232). 2010

Persistent link: https://www.econbiz.de/10008860427

A hybrid asymptotic expansion scheme : an application to long-term currency options

Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221

Persistent link: https://www.econbiz.de/10008906179

Application of a high-order asymptotic expansion scheme to long-term currency options

Takehara, Kohta; Toda, Masashi; Takahashi, Akihiko - In: The international journal of business and finance … 5 (2011) 3, pp. 87-99

Persistent link: https://www.econbiz.de/10008809193

An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates

Takahashi, Akihiko; Takehara, Kohta - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 69-121

Persistent link: https://www.econbiz.de/10003609535

An asymptotic expansion of forward-backward SDEs with a perturbed driver

Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011333428

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

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