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An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
Funahashi, Hideharu - 2014
Funahashi and Kijima (2013) have proposed an approximation method based on the Wiener-Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the method to the multi-asset case with general local volatility structure for the pricing of exotic basket...
Persistent link: https://www.econbiz.de/10013061994
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Estimation of the local volatility of discount bonds using market quotes for coupon-bond options
Fujiwara, Hajime; Kijima, Masaaki; Nishide, Katsumasa - In: Recent advances in financial engineering : proceedings …, (pp. 49-69). 2009
Persistent link: https://www.econbiz.de/10003871160
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Real options in a duopoly market with general volatility structure
Kijima, Masaaki; Shibata, Takashi - In: Recent advances in financial engineering : proceedings …, (pp. 71-89). 2009
Persistent link: https://www.econbiz.de/10003871162
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A latent process model for the pricing of corporate securities
Kijima, Masaaki; Suzuki, Teruyoshi; Tanaka, Keiichi - In: Mathematical methods of operations research 69 (2009) 3, pp. 439-455
Persistent link: https://www.econbiz.de/10003858268
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Economic models for the environmental Kuznets curve : a survey
Kijima, Masaaki; Nishide, Katsumasa; Ohyama, Atsuyuki - In: Journal of economic dynamics & control 34 (2010) 7, pp. 1187-1201
Persistent link: https://www.econbiz.de/10008659500
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Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Kijima, Masaaki (contributor) - 2010
Persistent link: https://www.econbiz.de/10003981989
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Equilibrium pricing of contingent claims in tradable permit markets
Kijima, Masaaki; Maeda, Akira; Nishide, Katsusasa - In: The journal of futures markets 30 (2010) 6, pp. 559-589
Persistent link: https://www.econbiz.de/10003962648
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Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
Kijima, Masaaki (contributor) - 2009
Persistent link: https://www.econbiz.de/10003852536
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A consumption-investment problem with production possibilities
Kabanov, Jurij M.; Kijima, Masaaki - In: From stochastic calculus to mathematical finance : the …, (pp. 315-332). 2006
Persistent link: https://www.econbiz.de/10003287167
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Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563