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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…