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Central limit theorem for the realized volatility based on the tick time sampling
Fukasawa, Masaaki - In: Finance and stochastics 14 (2010) 2, pp. 209-233
Persistent link: https://www.econbiz.de/10003951499
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Conservative Delta hedging under transaction costs
Fukasawa, Masaaki - In: Recent advances in financial engineering 2011: …, (pp. 55-72). 2012
Persistent link: https://www.econbiz.de/10009573488
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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208
Persistent link: https://www.econbiz.de/10010235454
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
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Volatility has to be rough
Fukasawa, Masaaki - In: Quantitative finance 21 (2021) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10012424626
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The asymptotic expansion of the regular discretization error of Itô integrals
Alòs, Elisa; Fukasawa, Masaaki - In: Mathematical Finance 31 (2020) 1, pp. 323-365
Persistent link: https://www.econbiz.de/10012410101
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Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu; Fukasawa, Masaaki - In: Finance and stochastics 20 (2016) 2, pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Model-free implied volatility : from surface to index
Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463
Persistent link: https://www.econbiz.de/10009269385