Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Imamura, Yuri"'
Autor:
Kokkonen, Lotta, Natri, Teija, Brauer, Hanna, Károly, Adrienn, Ahonen, Karoliina, Ylönen, Jani, Gerlander, Maija, Alanne, Anne, Kelly, Riitta, Imamura, Yuri, Orszag, Aaron, Jokinen, Elina, Kuitunen, Heidi, Torvelainen, Päivi, Riikonen, Jonna, Kotilainen, Sofia
When considering the title of this book, we, as its editors, had to reflect on the notion of change. Change is constant and inevitable, but fundamental changes do not happen overnight. Such changes result from actions and measures that address deep,
Externí odkaz:
https://library.oapen.org/handle/20.500.12657/92576
Publikováno v:
In Mathematics and Computers in Simulation September 2023 211:263-277
Autor:
Imamura, Yuri
The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on $\mathbf{Z}^d$.
Externí odkaz:
http://arxiv.org/abs/1810.00418
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an integral of static positions of knock-in type barrier options, ii) propo
Externí odkaz:
http://arxiv.org/abs/1801.04045
Autor:
Ida, Yuuki, Imamura, Yuri
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic volatility models. We work on a condition on the drift whi
Externí odkaz:
http://arxiv.org/abs/1705.00864
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional market model. Barrier options are considered in the paper and semi-sta
Externí odkaz:
http://arxiv.org/abs/1701.05695
Autor:
Akahori, Jiro, Imamura, Yuri
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the use of th
Externí odkaz:
http://arxiv.org/abs/1206.5983
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options. For ge
Externí odkaz:
http://arxiv.org/abs/1206.2934
Autor:
Imamura, Yuri, Takagi, Katsuya
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the se
Externí odkaz:
http://arxiv.org/abs/1104.4548
Autor:
Punaluek, Sutipon, Imamura, Yuri
Publikováno v:
International Journal of Mathematics for Industry; Dec2023, Vol. 15 Issue 1, p1-7, 7p