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A General Computation Scheme for a High-Order Asymptotic Expansion Method

A General Computation Scheme for a High-Order Asymptotic Expansion Method
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta, Toda, Masashi日本経済国際共同センター2011-02Discussion paper series. CIRJE-FCIRJE-F-787
Other Libraries in Japan
  • Subject Heading...tic Volatility λ-SABR Model Libor Market Model Currency O...

Pricing Barrier and Average Options under Stochastic Volatility Environment

Pricing Barrier and Average Options under Stochastic Volatility Environment
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-745
Other Libraries in Japan
  • Subject Heading...otic expansion λ-SABR model SABR mode

A Remark on Approximation of the Solutions to Partial Differential Equations in Finance

A Remark on Approximation of the Solutions to Partial Differential Equations in Finance
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2012-02Discussion paper series. CIRJE-FCIRJE-F-842
Other Libraries in Japan
  • Subject Heading...ity SABR model λ-SABR models Heston model

On Approximation of the Solutions to Partial Differential Equations in Finance

On Approximation of the Solutions to Partial Differential Equations in Finance
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-815
Other Libraries in Japan

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme
Paper文書・図像類
Takehara, Kohta, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-728
Other Libraries in Japan
  • Subject Heading...tic Volatility λ-SABR Model Libor Market Model Currency O...

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