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An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options

An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-696
Other Libraries in Japan
  • Subject Heading...barrier option knock-out option Malliavin calculus stochastic...

On Pricing Barrier Options with Discrete Monitoring

On Pricing Barrier Options with Discrete Monitoring
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-725
Other Libraries in Japan
  • Subject Heading...barrier option knock-out option double barrier option stochas...

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 Headingbarrier option average option knock-out option stochastic volatility static ...

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 HeadingBarrier Options Knock-out options SABR model λ-)SABR models He...

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