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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

Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

Yamamoto, Kyo - 2010

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al., 2000). The mathematical validity of the approximation...

Persistent link: https://www.econbiz.de/10013142489

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

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

A remark on approximation of the solutions to partial differential equations in finance

Takahashi, Akihiko; Yamada, Toshihiro - In: Recent advances in financial engineering 2011: …, (pp. 133-181). 2012

Persistent link: https://www.econbiz.de/10009573432

Pricing barrier and average options in a stochastic volatility environment

Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - In: The journal of computational finance 15 (2011/12) 2, pp. 111-148

Persistent link: https://www.econbiz.de/10009424800

On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model

Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10011338705

Pricing discrete barrier options under stochastic volatility

Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 19 (2012) 3, pp. 205-232

Persistent link: https://www.econbiz.de/10009660697

Note on an extension of an asymptotic expansion scheme

Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10009783991

Pricing multiasset cross-currency options

Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010254960