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subject:"Option pricing theory"
~person:"Arai, Takuji"
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Option pricing theory
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Arai, Takuji
Hull, John
24
Melʹnikov, Aleksandr V.
14
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13
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Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
Saved in:
2
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Arai, Takuji
;
Imai, Yuto
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 247-267
Persistent link: https://www.econbiz.de/10012128947
Saved in:
3
Numercial analysis on quadratic hedging strategies for normal inverse Gaussian models
Arai, Takuji
;
Imai, Yuto
;
Nakashima, Ryo
- In:
Advances in mathematical economics
22
(
2018
),
pp. 1-24
Persistent link: https://www.econbiz.de/10011895065
Saved in:
4
Optimal hedging strategies on asymmetric functions
Arai, Takuji
- In:
Advances in mathematical economics
11
(
2008
),
pp. 1-10
Persistent link: https://www.econbiz.de/10003687446
Saved in:
5
An extension of mean-variance hedging to the discontinuous case
Arai, Takuji
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 129-139
Persistent link: https://www.econbiz.de/10002497089
Saved in:
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