In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic dierential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. We derive an analytical approximation formula for them by applying a singular perturbation method ([12]). Then, numerical examples show that the instantaneous correlation...

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...

For estimating the integrated volatility by using high frequency data, Kunitomo and Sato (2008, 2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic...

For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and...

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...

We investigate some issues of macro-economic statistics in Japan including the housing investment, the private non-residential investment and the quarterly (preliminary) GDP estimates. We illustrate the problems associated with the seasonality and structural break in recent Japanese...

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a, b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...

For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and...