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Pricing contingent claims with...
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Muroi, Yoshifumi
25
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ECONIS (ZBW)
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RePEc
8
OLC EcoSci
4
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Pricing of credit derivatives with the asymptotic expansion approach
Muroi, Yoshifumi
-
2006
Persistent link: https://www.econbiz.de/10003353024
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2
Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
Saved in:
3
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
4
Pricing American put options on defaultable bonds
Muroi, Yoshifumi
- In:
Asia-Pacific financial markets
9
(
2002
)
3/4
,
pp. 217-239
Persistent link: https://www.econbiz.de/10001769397
Saved in:
5
An explicit finite difference approach to the pricing problems of perpetual Bermudan options
Muroi, Yoshifumi
;
Yamada, Takashi
- In:
Asia-Pacific financial markets
15
(
2008
)
3/4
,
pp. 229-253
Persistent link: https://www.econbiz.de/10003833262
Saved in:
6
Discrete Malliavin calculus and computations of greeks in the binomial tree
Muroi, Yoshifumi
;
Suda, Shintaro
- In:
European journal of operational research : EJOR
231
(
2013
)
2
,
pp. 349-361
Persistent link: https://www.econbiz.de/10009785590
Saved in:
7
A simple relationship between Greeks for Asian options
Liu, Tianmiao
;
Muroi, Yoshifumi
- In:
International journal of financial markets and derivatives
4
(
2015
)
3/4
,
pp. 195-202
Persistent link: https://www.econbiz.de/10011545972
Saved in:
8
Pricing of guaranteed annuity options in a stochastic volatility and interest rate environment
Kizaki, Keisuke
;
Muroi, Yoshifumi
- In:
Asia-Pacific journal of risk and insurance : APJRI
10
(
2016
)
2
,
pp. 133-153
Persistent link: https://www.econbiz.de/10011537211
Saved in:
9
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
10
Pricing derivatives using the asymptotic expansion approach : credit migration models with stochastic credit spreads
Muroi, Yoshifumi
;
Takino, E. Kazuhiro
- In:
Asia-Pacific financial markets
18
(
2011
)
4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10009348324
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