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Computation of Greeks and Mult...
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Option pricing theory
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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro
;
Kohatsu-Higa, Arturo
- In:
Applied mathematical finance
17
(
2010
)
3/4
,
pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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2
Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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3
Greeks formulas for an asset price model with gamma processes
Kawai, Reiichiro
;
Takeuchi, Atsushi
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 723-742
Persistent link: https://www.econbiz.de/10009311612
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4
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis
;
Kawai, Reiichiro
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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5
Smooth upper bounds for the price function of American style options
Bhim, Louis
;
Kawai, Reiichiro
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011845920
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6
Local vega index and variance reduction methods
Bermin, Hans-Peter
;
Kohatsu-Higa, Arturo
;
Montero, Miquel
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 85-97
Persistent link: https://www.econbiz.de/10001765651
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7
Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume
;
Gobet, Emmanuel
;
Kohatsu-Higa, Arturo
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
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8
Malliavin calculus in finance
Kohatsu-Higa, Arturo
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747498
Saved in:
9
Weak approximation for a black-scholes type regime switching model
Kohatsu-Higa, Arturo
;
Tanaka, Akihiro
- In:
Applied mathematical finance
31
(
2024
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10015194417
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