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Value-at-risk estimation for dynamic hedging

Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 333-354

Persistent link: https://www.econbiz.de/10001682217

Properties of multinomial lattices with cumulants for option pricing and hedging

Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 11 (2004) 3, pp. 335-365

Persistent link: https://www.econbiz.de/10003365663

A moment computation algorithm for the error in discrete dynamic hedging

Primbs, James A.; Yamada, Yuji - In: Journal of banking & finance 30 (2006) 2, pp. 519-540

Persistent link: https://www.econbiz.de/10003291317

Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

Yamada, Yuji - In: Asia-Pacific financial markets 24 (2017) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011742282

Properties of optimal smooth functions in additive models for hedging multivariate derivatives

Yamada, Yuji - In: Asia-Pacific financial markets 19 (2012) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009629160

Valuation and hedging of weather derivatives on monthly average temperature

Yamada, Yuji - In: Journal of risk 10 (2007/08) 1, pp. 101-125

Persistent link: https://www.econbiz.de/10003572544

Optimal hedging of prediction errors using prediction errors

Yamada, Yuji - In: Asia-Pacific financial markets 15 (2008) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10003757439

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific Financial Markets 21 (2014) 1, pp. 1-14

Option pricing under the Lévy process has been considered an important research direction in the field of financial engineering, where a closed-form expression for the standard European option is available due to the existence of analytically tractable characteristic function according to the...

Persistent link: https://www.econbiz.de/10010866368

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives

Matsumoto, Takuji; Yamada, Yuji - In: Energy economics 95 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012816562