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The minimal entropy martingale measures for geometric Lévy processes
Fujiwara, Tsukasa; Miyahara, Yoshio - In: Finance and stochastics 7 (2003) 4, pp. 509-531
Persistent link: https://www.econbiz.de/10001800700
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Finitely repeated games with monitoring options
Miyahara, Yasuyuki; Sekiguchi, Tadashi - In: Journal of economic theory 148 (2013) 5, pp. 1929-1952
Persistent link: https://www.econbiz.de/10010180916
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The folk theorem for repeated games with observation costs
Miyagawa, Eiichi; Miyahara, Yasuyuki; Sekiguchi, Tadashi - In: Journal of economic theory 139 (2008), pp. 192-221
Persistent link: https://www.econbiz.de/10007912026
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Geometric Lévy process pricing model
Miyahara, Yoshio; Novikov, Alex - 2001
Persistent link: https://www.econbiz.de/10001732779
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Option pricing in incomplete markets : modeling based on geometric Lévy processes and minimal entropy martingale measures
Miyahara, Yoshio - 2012
Persistent link: https://www.econbiz.de/10009426688
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Option pricing based on geometric stable processes and minimal entropy martingale measures
Miyahara, Yoshio; Moriwaki, Naruhiko - In: Recent advances in financial engineering : proceedings …, (pp. 119-133). 2009
Persistent link: https://www.econbiz.de/10003871176
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Stock performance evaluation incorporating high moments and disaster risk : evidence from Japan
Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Asia Pacific financial markets 27 (2020) 2, pp. 155-174
Persistent link: https://www.econbiz.de/10012222392
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Inner rate of risk aversion (IRRA) and its applications to investment selection
Miyahara, Yoshio - In: Asia Pacific financial markets 27 (2020) 2, pp. 193-212
Persistent link: https://www.econbiz.de/10012222399
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Utility indifference pricing and the Aumann-Serrano performance index
Hodoshima, Jiro; Miyahara, Yoshio - In: Journal of mathematical economics 86 (2020), pp. 83-89
Persistent link: https://www.econbiz.de/10012660654
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Comparison of utility indifference pricing and mean-variance approach under normal mixture
Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229
Persistent link: https://www.econbiz.de/10011982579