1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PR2008
A new market model in the large volatility case
Yukio Hirashita
We will compare three types of prices, namely, rational (hedging) prices, geometric (growth rate) prices, and martingale (measure) prices. We will show that rational prices in the…
math.OC2007
Delta Hedging without the Black-Scholes Formula
Yukio Hirashita
We introduce a new method of delta hedging. In many cases, this method results in a lower cost than the Black-Scholes method. To calculate the cost of hedging, we develop a Mathema…
math.OC2007★ 1 cited
Least-Squares Prices of Games
Yukio Hirashita
What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-fr…