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~person:"Takahashi, Akihiko"
~person:"Wu, Liuren"
~subject:"Monte Carlo simulation"
~subject:"Particle method"
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Takahashi, Akihiko
Wu, Liuren
Joshi, Mark S.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Asia-Pacific financial markets
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ECONIS (ZBW)
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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
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2
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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3
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
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4
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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