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An extension of mean-variance hedging to the discontinuous case
Arai, Takuji - In: Finance and stochastics 9 (2005) 1, pp. 129-139
Persistent link: https://www.econbiz.de/10002497089
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[Alpha] p-projections of random variables and its application to finance
Arai, Takuji - In: International journal of theoretical and applied finance 11 (2008) 8, pp. 869-888
Persistent link: https://www.econbiz.de/10003812855
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Optimal hedging strategies on asymmetric functions
Arai, Takuji - In: Advances in mathematical economics 11 (2008), pp. 1-10
Persistent link: https://www.econbiz.de/10003687446
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Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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Numercial analysis on quadratic hedging strategies for normal inverse Gaussian models
Arai, Takuji; Imai, Yuto; Nakashima, Ryo - In: Advances in mathematical economics 22 (2018), pp. 1-24
Persistent link: https://www.econbiz.de/10011895065
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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267
Persistent link: https://www.econbiz.de/10012128947