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ワーキングペーパーWorking Papers

ワーキングペーパー

  • "A general control variate method for time-changed Lévy processes: An application to option pricing," CARF (Center for Advanced Research in Finance) at University of Tokyo, 2019 (with Kenichiro Shiraya and Cong Wang), Download
  • "Recovering subjective probability distributions," Social Science Research Network, 2019, Download
  • "Approximation method using Black-Scholes formula for path-dependent option pricing under Lévy models," CARF (Center for Advanced Research in Finance) at University of Tokyo, 2019 (with Kaimon Miyachi and Kenichiro Shiraya), Download
  • "When is the transaction cost optimal?," Social Science Research Network, 2018 (with Daisuke Yoshikawa), Download
  • "Pricing currency options with a market model of interest rates under jump-diffusion stochastic volatility processes of spot exchange rates," University of Tokyo, CARF, F-082, 2006 (with Akihiko Takahashi and Kohta Takehara), Download

バナースペース

法政大学 経営学部 山嵜 輝 研究室

〒102-8160
東京都 千代田区 富士見 2-17-1
法政大学 市ヶ谷キャンパス