2 papers
q-fin.PR2009
Asymptotic behavior of prices of path dependent options
Yuji Hishida, Kenji Yasutomi
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a…
q-fin.PR2009
A Heat Kernel Approach to Interest Rate Models
Jiro Akahori, Yuji Hishida, Josef Teichmann +1
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the appro…