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On valuation with stochastic proportional Hazard model in finance

Yamazaki, Akira - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009756036

Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing

Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10011523937

A general control variate method for Lévy models in finance

Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200

Persistent link: https://www.econbiz.de/10012238947

Approximation method using black-scholes formula for barrier option pricing under Lévy models

Li, Yuan; Miyachi, Kaimon; Shiraya, Kenichiro; … - 2021 - This version : June 7, 2021

Persistent link: https://www.econbiz.de/10012807890

ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE

YAMAZAKI, AKIRA - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350017-1

While the proportional hazard model is recognized to be statistically meaningful for analyzing and estimating financial event risks, the existing literature that analytically deals with the valuation problems is very limited. In this paper, adopting the proportional hazard model in continuous...

Persistent link: https://www.econbiz.de/10010661003