Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Hideharu Funahashi"'
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Fractal and Fractional, Vol 1, Iss 1, p 14 (2017)
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-l
Externí odkaz:
https://doaj.org/article/c5e2e44010514a7c89972ef0fa9ec857
Autor:
Hideharu Funahashi
Publikováno v:
Quantitative Finance. 23:229-249
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52c3688886426be708508d786389be27
https://doi.org/10.1080/14697688.2022.2150561
https://doi.org/10.1080/14697688.2022.2150561
Autor:
Hideharu Funahashi
Publikováno v:
Quantitative Finance. 21:575-592
This paper proposes a mixed approach of asymptotic expansion (AE) and artificial neural network (ANN) methods for option pricing in order to improve computational speed, stability, and approximatio...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a5bc98e757f4f66f93622418f823339
https://doi.org/10.1080/14697688.2020.1812702
https://doi.org/10.1080/14697688.2020.1812702
Autor:
Hideharu Funahashi
Publikováno v:
The Journal of Derivatives. 27:30-50
This article provides an analytical approximation formula for a swaption price when the instantaneous forward rate follows a Heath-Jarrow-Morton (HJM) model. Our approximation strategy, based on the chaos expansion approximation, is to replicate the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67193bf9919836855feefe28a4f46df3
https://doi.org/10.3905/jod.2020.1.101
https://doi.org/10.3905/jod.2020.1.101
Autor:
Tomohide Higuchi, Hideharu Funahashi
Publikováno v:
Annals of Operations Research. 266:129-157
The aim of this paper is to derive an approximation formula for a single barrier option under local volatility models, stochastic volatility models, and their hybrids, which are widely used in practice. The basic idea of our approximation is to mimic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf14ac917cf5627c22cb6acff3c7c0f7
https://doi.org/10.1007/s10479-017-2559-3
https://doi.org/10.1007/s10479-017-2559-3
Autor:
Hideharu Funahashi, Ken Uzawa
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e101f804b6944e27bded5fe82cbf3554
https://doi.org/10.2139/ssrn.3461104
https://doi.org/10.2139/ssrn.3461104
Autor:
Hideharu Funahashi
Publikováno v:
SSRN Electronic Journal.
This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simple
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::26b229b9da19f92309335b762c639c00
https://doi.org/10.2139/ssrn.3330556
https://doi.org/10.2139/ssrn.3330556
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Annals of Finance. 13:55-74
This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive nume
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e62f4889ddffa675a02569499fc9a99
https://doi.org/10.1007/s10436-016-0289-1
https://doi.org/10.1007/s10436-016-0289-1
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Quantitative Finance. 16:867-886
This paper considers a single barrier option under a local volatility model and shows that any down-and-in option can be priced by a combination of three standard European options whose volatility functions are connected through symmetrization. The s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f3d2cfb241b473375a02fe327b03975
https://doi.org/10.1080/14697688.2015.1101483
https://doi.org/10.1080/14697688.2015.1101483
Autor:
Masaaki Kijima, Hideharu Funahashi
Publikováno v:
The Journal of Computational Finance. 18:27-58
In this paper, we propose an approximation method based on the Wiener–Ito chaos expansion for the pricing of European-style contingent claims. Our method is applicable to the general class of continuous Markov processes. The resulting approximation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a22fa2144d82740c805c9a673b045c76
https://doi.org/10.21314/jcf.2015.299
https://doi.org/10.21314/jcf.2015.299