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A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models
Paper文書・図像類
Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2008-06Discussion paper series. CIRJE-FCIRJE-F-567
Other Libraries in Japan
  • Subject HeadingStatic Hedging Stochastic Volatility Markovian Projection Plain Vanilla Option Heston Model

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... 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
  • Subject Heading...λ-)SABR models Heston model Short time asymptotics Heat k...

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