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Discrete Malliavin calculus an...
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Option pricing theory
Optionspreistheorie
12
Derivat
6
Derivative
6
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5
Option trading
5
Optionsgeschäft
5
Greeks
4
Kreditrisiko
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Options
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Muroi, Yoshifumi
12
Suda, Shintaro
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ECONIS (ZBW)
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Discrete Malliavin calculus and computations of greeks in the binomial tree
Muroi, Yoshifumi
;
Suda, Shintaro
- In:
European journal of operational research : EJOR
231
(
2013
)
2
,
pp. 349-361
Persistent link: https://www.econbiz.de/10009785590
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2
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
3
Computation of Greeks using binomial tree
Muroi, Yoshifumi
;
Suda, Shintaro
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 597-623
Persistent link: https://www.econbiz.de/10011752400
Saved in:
4
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
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5
Pricing American put options on defaultable bonds
Muroi, Yoshifumi
- In:
Asia-Pacific financial markets
9
(
2002
)
3/4
,
pp. 217-239
Persistent link: https://www.econbiz.de/10001769397
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6
Pricing of credit derivatives with the asymptotic expansion approach
Muroi, Yoshifumi
-
2006
Persistent link: https://www.econbiz.de/10003353024
Saved in:
7
Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
Saved in:
8
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
9
Pricing derivatives using the asymptotic expansion approach : credit migration models with stochastic credit spreads
Muroi, Yoshifumi
;
Takino, E. Kazuhiro
- In:
Asia-Pacific financial markets
18
(
2011
)
4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10009348324
Saved in:
10
An explicit finite difference approach to the pricing problems of perpetual Bermudan options
Muroi, Yoshifumi
;
Yamada, Takashi
- In:
Asia-Pacific financial markets
15
(
2008
)
3/4
,
pp. 229-253
Persistent link: https://www.econbiz.de/10003833262
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