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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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A general control variate method for Lévy models in finance
Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
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A general control variate method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro; Wang, Cong; Yamazaki, Akira - In: The journal of computational finance : JFC 27 (2023) 1, pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
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Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan; Shiraya, Kenichiro; Umezawa, Yuji; Yamazaki, Akira - 2022
Persistent link: https://www.econbiz.de/10013271751