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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
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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Analytical approximation of pricing average options under the Heston model
Yamazaki, Akira - In: Recent advances in financial engineering 2011: …, (pp. 203-220). 2012
Persistent link: https://www.econbiz.de/10009573427
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Pricing average options under time-changed Lévy processes
Yamazaki, Akira - In: Review of derivatives research 17 (2014) 1, pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
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Asset pricing with non-geometric type of dividends
Yamazaki, Akira - In: Annals of financial economics 10 (2015) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011408577
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A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira - In: Quantitative finance 18 (2018) 5, pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
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Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
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Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
Umezawa, Yuji; Yamazaki, Akira - In: Applied mathematical finance 22 (2015) 1/2, pp. 133-161
Persistent link: https://www.econbiz.de/10010505145
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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