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~person:"Takahashi, Akihiko"
~subject:"Monte Carlo simulation"
~subject:"Particle method"
~subject:"Theory"
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Takahashi, Akihiko
Hull, John
22
Joshi, Mark S.
11
Vorst, Ton
10
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8
Giglio, Stefano
8
Kelly, Bryan T.
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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
Saved in:
2
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:
3
Efficient static replication of European options under exponential Lévy models
Takahashi, Akihiko
;
Yamazaki, Akira
- In:
The journal of futures markets
29
(
2009
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10003826604
Saved in:
4
A variable reduction technique for pricing average-rate options
He, Hua
;
Takahashi, Akihiko
- In:
International review of finance
1
(
2000
)
2
,
pp. 123-142
Persistent link: https://www.econbiz.de/10001666865
Saved in:
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