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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

Pricing multiasset cross-currency options

Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010254960

Pricing barrier and average options in a stochastic volatility environment

Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - In: The journal of computational finance 15 (2011/12) 2, pp. 111-148

Persistent link: https://www.econbiz.de/10009424800

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

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

Price impacts of imperfect collateralization

Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011532751

A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs : Control Variate Method for Deep BSDE Solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs). First, we decompose a target semilinear PDE (BSDE) into two parts, namely "dominant" linear and "small" nonlinear...

Persistent link: https://www.econbiz.de/10013250324

New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023

Persistent link: https://www.econbiz.de/10014383870

A remark on approximation of the solutions to partial differential equations in finance

Takahashi, Akihiko; Yamada, Toshihiro - In: Recent advances in financial engineering 2011: …, (pp. 133-181). 2012

Persistent link: https://www.econbiz.de/10009573432

An asymptotic expansion of forward-backward SDEs with a perturbed driver

Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011333428