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Discrete Malliavin calculus and computations of greeks in the binomial tree
Muroi, Yoshifumi; Suda, Shintaro - In: European journal of operational research : EJOR 231 (2013) 2, pp. 349-361
Persistent link: https://www.econbiz.de/10009785590
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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Computation of Greeks using binomial tree
Muroi, Yoshifumi; Suda, Shintaro - In: Journal of mathematical finance 7 (2017) 3, pp. 597-623
Persistent link: https://www.econbiz.de/10011752400
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Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi; Saeki, Ryota; Suda, Shintaro - In: International journal of financial engineering 8 (2021) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
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Lattice approach for option pricing under lévy processes
Muroi, Yoshifumi; Suda, Shintaro - In: The journal of derivatives : JOD 31 (2023) 1, pp. 34-48
Persistent link: https://www.econbiz.de/10014422381
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Pricing American put options on defaultable bonds
Muroi, Yoshifumi - In: Asia-Pacific financial markets 9 (2002) 3/4, pp. 217-239
Persistent link: https://www.econbiz.de/10001769397
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Pricing contingent claims with credit risk : asymptotic expansion approach
Muroi, Yoshifumi - In: Finance and stochastics 9 (2005) 3, pp. 415-427
Persistent link: https://www.econbiz.de/10002946754
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Pricing of credit derivatives with the asymptotic expansion approach
Muroi, Yoshifumi - 2006
Persistent link: https://www.econbiz.de/10003353024
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Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi - In: Applied mathematical finance 13 (2006) 2, pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
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Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi - In: The journal of computational finance 15 (2011/12) 3, pp. 135-171
Persistent link: https://www.econbiz.de/10009534163