3 citations · 5 across the 7 of their papers we have counts for
7 papers
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…
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…
Details for "Least-Squares Prices of Games"
Yukio Hirashita
This paper is intended to help the readers to understand the article: Y. Hirashita, Least-Squares Prices of Games, Preprint (arXiv:math.OC/0703079).
Translation Invariance of Investment
Yukio Hirashita
For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price…
Ratio of price to expectation and complete Bernstein functions
Yukio Hirashita
For a game with positive expectation and some negative profit, a unique price exists, at which the optimal proportion of investment reaches its maximum. For a game with parallel tr…
Game pricing and double sequence of random variables
Yukio Hirashita
In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per…
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…