This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in <I>best approximation in an inner product space</I>. Moreover, we applies "Dykstra's cyclic projections algorithm" for its implementation. Numerical examples for...</i>

　　 This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in<em> the Hilbert space projection theorem</em>. Moreover, we apply “Dykstra's cyclic projections algorithm†for its implementation....

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper proposes a trading strategy that dynamically rebalances static super-replicating portfolios, which is very useful for both investment and hedging strategies. In order to investigate general properties of the strategy, we derive the Doob-Meyer decomposition for the value process...

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies “Dykstra's cyclic projections algorithm” for its implementation. Numerical examples...