Narrow search
Showing 1 - 10 of 96
Cover Image
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
Cover Image
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
Cover Image
Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan; Shiraya, Kenichiro; Umezawa, Yuji; Yamazaki, Akira - 2022
Persistent link: https://www.econbiz.de/10013271751
Cover Image
A general control variate method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro; Wang, Cong; Yamazaki, Akira - In: The journal of computational finance : JFC 27 (2023) 1, pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
Cover Image
Pricing average options on commodities
Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 31 (2011) 5, pp. 407-439
Persistent link: https://www.econbiz.de/10009009225
Cover Image
Pricing multiasset cross-currency options
Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Cover Image
Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 19 (2012) 3, pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
Cover Image
Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - In: The journal of computational finance 15 (2011/12) 2, pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Cover Image
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Cover Image
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221