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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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An approximate approach to the exponential utility indifference
Arai, Takuji - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
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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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Good deal bounds with convex constraints
Arai, Takuji - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011686844
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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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Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji - In: International journal of financial engineering 10 (2023) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
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Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Arai, Takuji - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10013189954
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451