IDEAS home Printed from https://ideas.repec.org/r/tky/fseres/2009cf621.html
   My bibliography  Save this item

Computation in an Asymptotic Expansion Method

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Akihiko Takahashi & Masashi Toda, 2013. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-312, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  2. Kenichiro Shiraya, 2016. "An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)," CARF F-Series CARF-F-397, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2018.
  3. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "Pricing Discrete Barrier Options under Stochastic Volatility," CARF F-Series CARF-F-210, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2011.
  4. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2010. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-745, CIRJE, Faculty of Economics, University of Tokyo.
  5. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options," CARF F-Series CARF-F-225, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  6. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
  7. Yoshifumi Muroi & E. Takino, 2011. "Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 345-372, November.
  8. Kenichiro Shiraya & Akihiko Takahashi, 2015. "An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models," CIRJE F-Series CIRJE-F-998, CIRJE, Faculty of Economics, University of Tokyo.
  9. Akihiko Takahashi & Yoshihiro Yajima, 2011. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CIRJE F-Series CIRJE-F-824, CIRJE, Faculty of Economics, University of Tokyo.
  10. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-874, CIRJE, Faculty of Economics, University of Tokyo.
  11. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-," CARF F-Series CARF-F-324, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2014.
  12. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-787, CIRJE, Faculty of Economics, University of Tokyo.
  13. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2012. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-272, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  14. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-242, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jul 2011.
  15. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CARF F-Series CARF-F-165, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Kenichiro Shiraya & Akihiko Takahashi, 2009. "Pricing Average Options on Commodities," CARF F-Series CARF-F-177, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2012.
  17. Kenichiro Shiraya & Akihiko Takahashi, 2019. "Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 303-333, February.
  18. Akihiko Takahashi & Masashi Toda, 2013. "Note On An Extension Of An Asymptotic Expansion Scheme," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-23.
  19. Akihiko Takahashi & Toshihiro Yamada, 2012. "On Approximation of the Solutions to Partial Differential Equations in Finance," CARF F-Series CARF-F-249, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2012.
  20. Fernández, J.L. & Ferreiro, A.M. & García-Rodríguez, J.A. & Leitao, A. & López-Salas, J.G. & Vázquez, C., 2013. "Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 55-75.
  21. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
  22. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
  23. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "On Pricing Barrier Options with Discrete Monitoring," CIRJE F-Series CIRJE-F-725, CIRJE, Faculty of Economics, University of Tokyo.
  24. Akihiko Takahashi & Toshihiro Yamada, 2011. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CARF F-Series CARF-F-256, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  25. Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Optionss," CIRJE F-Series CIRJE-F-844, CIRJE, Faculty of Economics, University of Tokyo.
  26. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CIRJE F-Series CIRJE-F-695, CIRJE, Faculty of Economics, University of Tokyo.
  27. Kenichiro Shiraya & Akihiko Takahashi, 2015. "An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)," CARF F-Series CARF-F-377, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  28. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  29. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2012. "A General Computation Scheme For A High-Order Asymptotic Expansion Method," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-25.
  30. Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-286, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2012.
  31. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-728, CIRJE, Faculty of Economics, University of Tokyo.
  32. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-305, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  33. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CARF F-Series CARF-F-176, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised May 2010.
  34. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options," CIRJE F-Series CIRJE-F-753, CIRJE, Faculty of Economics, University of Tokyo.
  35. Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Options," CARF F-Series CARF-F-290, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  36. Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-860, CIRJE, Faculty of Economics, University of Tokyo.
  37. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".)," CARF F-Series CARF-F-212, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  38. Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
  39. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model --," CIRJE F-Series CIRJE-F-897, CIRJE, Faculty of Economics, University of Tokyo.
  40. Akihiko Takahashi & Toshihiro Yamada, 2015. "A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"," CARF F-Series CARF-F-358, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Apr 2016.
  41. Akihiko Takahashi & Toshihiro Yamada, 2014. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
  42. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-682, CIRJE, Faculty of Economics, University of Tokyo.
  43. Akihiko Takahashi & Toshihiro Yamada, 2011. "On Approximation of the Solutions to Partial Differential Equations in Finance," CIRJE F-Series CIRJE-F-815, CIRJE, Faculty of Economics, University of Tokyo.
  44. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2012. "Pricing Discrete Barrier Options Under Stochastic Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 205-232, September.
  45. Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki, 2010. "Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models," CARF F-Series CARF-F-214, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  46. Kenichiro Shiraya & Akihiko Takahashi, 2010. "Pricing Average Options on Commodities," CIRJE F-Series CIRJE-F-747, CIRJE, Faculty of Economics, University of Tokyo.
  47. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
  48. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CARF F-Series CARF-F-194, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Apr 2011.
  49. Akihiko Takahashi & Toshihiro Yamada, 2015. "On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 513-541, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.