Add to ORKGWe review some recent developments in mathematical finance and financial econometrics. In particular we discuss the asymptotic expansion approach recently proposed by Kunitomo and Takahashi (1995, 2001, 2002). Its mathematical validity is closely related to the Watanabe=Yoshida theory on Malliavin Calculus in Stochastic Analysis.計測と制御, 41, 2002, p. 844-849.本文フィルはリンク先を参照のこ
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
AbstractIn the present article, we will consider a conditional limit theorem and conditional asympto...
In the present article, we will consider a conditional limit theorem and conditional asymptotic expa...
This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathema...
This paper reviews an asymptotic expansion approach to numerical problems for pricing financial asse...
Recently, not only academic researchers but also many practitioners have used the methodology so-cal...
Recently, not only academic researchers but also many practitioners have used the methodology so-cal...
This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary or...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, centr...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
AbstractIn the present article, we will consider a conditional limit theorem and conditional asympto...
In the present article, we will consider a conditional limit theorem and conditional asymptotic expa...
This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathema...
This paper reviews an asymptotic expansion approach to numerical problems for pricing financial asse...
Recently, not only academic researchers but also many practitioners have used the methodology so-cal...
Recently, not only academic researchers but also many practitioners have used the methodology so-cal...
This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary or...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, centr...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
AbstractIn the present article, we will consider a conditional limit theorem and conditional asympto...
In the present article, we will consider a conditional limit theorem and conditional asymptotic expa...