A New Improvement Scheme for Approximation Methods of Probability Density Functions
Download full text from publisher
References listed on IDEAS
- Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2008. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-596, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options," CIRJE F-Series CIRJE-F-734, CIRJE, Faculty of Economics, University of Tokyo.
- Roger W. Lee, 2004. "The Moment Formula For Implied Volatility At Extreme Strikes," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 469-480.
- Akihiko Takahashi & Nakahiro Yoshida, 2005. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-335, CIRJE, Faculty of Economics, University of Tokyo.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2013cf874. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office). General contact details of provider: http://edirc.repec.org/data/ritokjp.html .