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ワーキングペーパーWorking Papers

ワーキングペーパー

  • "Subjective probability distributions of nonlinear payoffs: Recovering option payoff and agent's utility distributions," The Research Institute for Innovation Management at Hosei University, 2023, Download
  • "Theoretical relation between expected option returns and pricing kernel," The Research Institute for Innovation Management at Hosei University, 2022, Download
  • "Moments of maximum of Lévy processes: Application to barrier and lookback option pricing," CARF (Center for Advanced Research in Finance) at University of Tokyo, 2022 (with Yuan Li, Kenichiro Shiraya, and Yuji Umezawa), Download
  • "Approximation method using Black-Scholes formula for barrier option pricing under Lévy models," CARF (Center for Advanced Research in Finance) at University of Tokyo, 2021 (with Yuan Li, 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