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type_genre:"Aufsatzsammlung"
~person:"Fusai, Gianluca"
~person:"Takahashi, Akihiko"
~type_genre:"Article in journal"
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Option trading
16
Optionsgeschäft
16
Option pricing theory
13
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5
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Fusai, Gianluca
Takahashi, Akihiko
Ryu, Doojin
24
Wang, Xingchun
22
Zhang, Jin E.
18
Carr, Peter
16
Lee, Hangsuck
14
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European journal of operational research : EJOR
4
Journal of banking & finance
2
Mathematics of operations research
2
The journal of futures markets
2
Asia-Pacific financial markets
1
Finance and stochastics
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International journal of financial engineering
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International review of finance
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ECONIS (ZBW)
16
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1
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
2
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
3
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
4
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Saved in:
5
Rebalancing static super-replications
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011673107
Saved in:
6
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
Saved in:
7
An FBSDE approach to American option pricing with an interacting particle method
Fujii, Masaaki
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
Saved in:
8
Pricing exotic derivatives exploiting structure
Sesana, Debora
;
Marazzina, Daniele
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
236
(
2014
)
1
,
pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
Saved in:
9
A general closed-form spread option pricing formula
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
Saved in:
10
Pricing average options on commodities
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
31
(
2011
)
5
,
pp. 407-439
Persistent link: https://www.econbiz.de/10009009225
Saved in:
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