本文に飛ぶ

年 〜
年

検索結果 5 件

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
デジタル文書・図像類
Funahashi, Hideharu, Kijima, MasaakiInstitute of Economic Research, Kyoto University2013-04KIER Discussion Paper857
インターネットで読める全国の図書館
  • 要約等...e with general local volatility structure for the pricing of ...
  • 件名Wiener-Ito chaos expansion local volatility average option basket option ...

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
紙文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Yamazaki, Akira日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-737
全国の図書館
  • 件名Asymptotic Expansion Local Volatility Affine-type Stochastic Volati...

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
紙文書・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
全国の図書館
  • 件名...tic volatility Local volatility SABR model λ-SABR models Hest...

On Approximation of the Solutions to Partial Differential Equations in Finance

On Approximation of the Solutions to Partial Differential Equations in Finance
紙文書・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
全国の図書館
  • 件名...tic volatility Local volatility Integration-by-parts Semigrou...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
紙文書・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-695
全国の図書館
  • 件名...ied volatility Local volatility Shifted log-normal model Jump...

検索結果は以上です。

RSS